Results 81 to 90 of about 5,852 (226)
Dynamic Relationship between RMB Exchange Rate and Interest Rate Based on VAR-DCC-GARCH Model [PDF]
E3S Web of Conferences, 2020 Based on the daily data of Shibor and nominal exchange rate from 2006 to 2019, this paper constructs VAR model and uses Granger causality test and impulse response model to analyze the dynamic relationship between exchange rate and interest rate. Based on the DCC-GARCH model, this paper analyzes the correlation between exchange rate volatility and ...
openaire +2 more sources
Systemic Credit Risk Premium: Insights From Credit Derivatives Markets
Journal of Futures Markets, Volume 45, Issue 9, Page 1448-1465, September 2025.ABSTRACT This study examines the market‐implied premiums for bearing systemic credit risk by analyzing credit derivatives on the CDX North American Investment Grade portfolio from September 2005 to March 2021. We construct systemic credit risk premium (SCRP) as the difference between the observed prices of multiname super‐senior tranches and their ...
Kiwoong Byun, Baeho Kim, Dong Hwan Oh
wiley +1 more source
The analysis of interest rate mean and volatility spillover to the industrial production index and stock markets: The case of China [PDF]
Empirical results found the parameter estimates for the CCC-MGARCH models display that the short run persistence is positive and significant and the positive and significant ARCH and GARCH term show the ARCH and GARCH effect exist in these models.
Ching-Chun Wei
core
ANUSANDHAN – NDIM's Journal of Business and Management Research, 2023 This study presents an analysis of the occurrence of structural flaws and spillovers of volatility among eight popular digital currencies, such as Bit coin (BTC), Litecoin (LTC), Ripple (XRP), BNBPrice, DOGECOINPrice,ETHEREUMPrice, TETHERPrice, and USDCOINPrice.
openaire +1 more source
Deep Learning and Machine Learning Insights Into the Global Economic Drivers of the Bitcoin Price
Journal of Forecasting, Volume 44, Issue 5, Page 1666-1698, August 2025.ABSTRACT This study examines the connection between Bitcoin and global factors, including the VIX, the oil price, the US dollar index, the gold price, and interest rates estimated using the Federal funds rate and treasury securities rate, for forecasting analysis.
Nezir Köse +2 more
wiley +1 more source
Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers
Journal of Forecasting, Volume 44, Issue 4, Page 1266-1279, July 2025.ABSTRACT This paper introduces an extended multivariate EGARCH model that overcomes the zero‐return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear asymptotic properties of the QML estimator, our Monte ...
Yongdeng Xu
wiley +1 more source
"Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets" [PDF]
This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of international crude oil markets, namely Brent, WTI and Dubai, to aid in risk ...
Chia-Lin Chang +2 more
core
Portfolio optimization with mixture vector autoregressive models
, 2020 Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and risk as ...
Boshnakov, Georgi N., Ravagli, Davide
core
A note on the determinants of non‐fungible tokens returns
International Journal of Finance &Economics, Volume 30, Issue 3, Page 3201-3211, July 2025.Abstract We aim to identify the determinants of non‐fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty‐three potential drivers of the returns of each NFT are considered.
Theodore Panagiotidis +1 more
wiley +1 more source
Spillover Effect of Food Producer Price Volatility in Indonesia
EconomiesFood price volatility is a persistent challenge in Indonesia, where agriculture is central to food security and rural livelihoods. While price transmission has been studied, little is known about how volatility spreads sub-nationally in archipelagic ...
Anita Theresia +3 more
doaj +1 more source