Results 71 to 80 of about 18,925 (204)
International Journal of Management and Economics, 2015 This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa) countries for the February 26, 1999 to June 30, 2014 period.
Arfaoui Mongi, Ben Rejeb Aymen
doaj +1 more source
Borsa Istanbul Review, 2019 We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and ...
Huthaifa Alqaralleh +2 more
doaj +1 more source
2021 INTERNATIONAL CONFERENCE ON ADVANCED EDUCATION AND INFORMATION MANAGEMENT (AEIM 2021), 2021 Abstract. With the gradual inapplicability of the “rational man” and the efficient market hypothesis in the contemporary financial field, modern finance represented by behavioral finance has emerged. Behavioral finance is guided by the study of human psychology and behavior, exploring the internal connections and fluctuations in the financial market ...
openaire +2 more sources
Waves of Uncertainty: Crude Oil Under Geopolitical, Economic, and ESG Turbulence
Energy Science &Engineering, Volume 14, Issue 3, Page 1258-1272, March 2026.Dynamic copula and wavelet coherence reveal that geopolitical, economic, and sustainability uncertainties significantly shape crude oil price co‐movements. Long‐term coherence, especially post‐2015, highlights the growing role of ESG risks alongside geopolitical shocks and economic crises in global energy risk transmission.
Sana Braiek +3 more
wiley +1 more source
Systemic risk in the insurance sector: A semi‐parametric approach based on Spearman's rho
Risk Management and Insurance Review, Volume 29, Issue 1, Page 64-98, Spring 2026.Abstract We propose a new method to measure systemic risk in the global insurance sector by analyzing interconnectedness among firms under different market conditions. Using a semi‐parametric approach that relies on the Spearman correlation and copula‐based partial dependence, we assess relationships in relatively stable, extremely bullish, and ...
Leonardo Iania +2 more
wiley +1 more source
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models [PDF]
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC.
Michael McAleer, Massimiliano Caporin
core +2 more sources
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH [PDF]
DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances.
Michael McAleer, Massimiliano Caporin
core +6 more sources
Journal of Economic Surveys, Volume 40, Issue 1, Page 443-468, February 2026.ABSTRACT Cryptocurrency markets are known for their wide price fluctuations, lack of central control, and fast‐paced development. These characteristics present serious challenges to traditional theories about how markets work and how prices reflect available information.
Giulia Fantini, Joy Jia, Chiara Oldani
wiley +1 more source
Revista de Métodos Cuantitativos para la Economía y la Empresa, 2019 La tasa de cambio está influenciada por múltiples factores macroeconómicos nacionales e internacionales, lo que genera altos niveles de incertidumbre.
Maya Sierra, Giuliana +1 more
doaj
IET Renewable Power Generation, Volume 20, Issue 1, January/December 2026.This study proposes an optimal operation framework for active distribution networks that explicitly captures dynamic PV correlation using a SARIMA‐DCC‐GARCH model. By integrating affine power flow analysis with flexible resource scheduling, the method effectively maximises photovoltaic consumption and minimises operational costs while ensuring voltage ...
Junpeng Zhu +6 more
wiley +1 more source