Results 31 to 40 of about 6,675 (205)
Bitcoin ile Vadeli İşlemler Piyasası Arasındaki İlişkinin Analizi
Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2022 Çalışmanın temel amacı bitcoin ile BIST30 vadeli, altın vadeli ve döviz vadeli işlemler piyasası arasındaki volatilite etkileşimini araştırmaktır. Bu doğrultuda 25.07.2010 – 13.02.2022 dönemine ait haftalık veriler kullanılmıştır.
Ethem Kılıç
doaj +1 more source
Seasonality and Dynamic Spatial Contagion of Air Pollution in 42 Chinese Cities
The Scientific World Journal, 2013 To monitor and improve the urban air quality, the Chinese government has begun to make many efforts, and the interregional cooperation to cut and improve air quality has been required.
Zhanqiong He +2 more
doaj +1 more source
Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
doaj +1 more source
BayesDccGarch - An Implementation of Multivariate GARCH DCC Models
, 2014 Multivariate GARCH models are important tools to describe the dynamics of multivariate times series of financial returns. Nevertheless, these models have been much less used in practice due to the lack of reliable software. This paper describes the {\tt R} package {\bf BayesDccGarch} which was developed to implement recently proposed inference ...
Fioruci, Jose A. +2 more
openaire +2 more sources
Return and Volatility Spillovers Among Major Cotton Markets
Agribusiness, EarlyView.ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli +3 more
wiley +1 more source
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
A wavelet approach towards examining dynamic association, causality and spillovers [PDF]
International Journal of Data and Network Science, 2019 This paper presents an integrated granular framework of wavelet decomposition, DCC-GARCH, ADCC-GARCH, Diks-Panchenko nonlinear Granger’s causality and Diebold-Yilmaz spillover assessment techniques to understand temporal correlation, causal interplay and
Indranil Ghosh, Tamal Datta Chaudhuri
doaj +1 more source
Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, EarlyView.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley +1 more source
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
, 2012 In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet tools to commodity market data.
Barunik, Jozef, Vacha, Lukas
core +1 more source
Model Averaging in Risk Management with an Application to Futures Markets [PDF]
, 2008 This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management ...
Pesaran, M. Hashem +2 more
core +4 more sources