Results 101 to 110 of about 54,114 (238)
Bilevel Network Modeling and Risk Transmission in Heterogeneous Financial Data
Complexity, Volume 2026, Issue 1, 2026.This study constructs a bilevel network model based on heterogeneous financial data to explore the complex network characteristics and risk transmission mechanisms in the stock market. Using the trading data and textual sentiment data of Shanghai Stock Exchange (SSE) 50 constituent stocks over the past 5 years, a daily return network model and a ...
Suhang Wang +3 more
wiley +1 more source
Discrete Dynamics in Nature and Society, Volume 2026, Issue 1, 2026.Today, the astonishing growth of digital currency has attracted many bold investors. This has caused digital currencies to be gradually introduced as a new asset class with its own criteria. However, the relationship between traditional assets and new assets is not yet deeply understood. This study’s objective is to investigate the dynamic relationship
Farzaneh Shams Tarnabi, Fabio Tramontana
wiley +1 more source
Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with DCC-GARCH Model [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran.
Firouz Fallahi +3 more
doaj
Asian Journal of Economics and BankingPurposeBitcoin (BTC) is significantly correlated with global financial assets such as crude oil, gold and the US dollar. BTC and global financial assets have become more closely related, particularly since the outbreak of the COVID-19 pandemic.
Yadong Liu +3 more
semanticscholar +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
MIDAS models in banking sector – systemic risk comparison
Managerial Economics, 2018 This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in
Henryk Gurgul +2 more
doaj +1 more source
Volume and volatility adjusted l-var with dcc-garch modeling
, 2020 Sabit spread, endojen ve eksojen spread teknikleri; Riske Maruz Likidite Değeri'ni (L-VaR) elde etmek için kullanılan bid-ask spread ile birlikte piyasa risk sonuçlarını belirler. Ancak likitide riskin bu geleneksel yöntemleri 2008 krizinden sonra L-VaR tahmin eksikliklerinden dolayı eleştirilmiştir.
openaire +2 more sources
International Journal of Energy Economics and PolicyThe central aim of this study is to evaluate the repercussions of global energy price fluctuations on the pricing of local oil derivatives in Jordan, and their subsequent impact on domestic price levels.
Radi Mohammad Adailah +2 more
semanticscholar +1 more source
How interrelated are MIST equity markets with the developed stock markets of the world?
Cogent Economics & Finance, 2017 This study explores the long-run and short-term relationship between the Mexico, Indonesia, South Korea, and Turkey (MIST) equity markets and the developed stock markets such as US, UK, Germany, Japan, Hong Kong, and Singapore.
Vinodh Madhavan
doaj +1 more source
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
doaj +1 more source