Results 71 to 80 of about 6,666 (205)
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
Establishing the nature of Bitcoin : A DCC-GARCH analysis
, 2022 Since its start in 2008 up until the date of this study, Bitcoin has steadily gained considerablyin popularity. However, the digital cryptocurrency still seems to be surrounded by asubstantial amount of mystery as to whether it deserves a spot in anyone's portfolio. Manystudies have tried to pin Bitcoin as a safe haven asset to the likes of gold due to
Ekstrand, Amanda, Musial, Mateusz
openaire +1 more source
European Financial Management, Volume 31, Issue 5, Page 1704-1719, November 2025.ABSTRACT This study highlights the significance of incorporating environmental, social, and governance (ESG) criteria within investment strategies to strengthen risk management in volatile markets. Employing time‐varying parameter vector autoregressions and dynamic conditional correlation generalized autoregressive conditional heteroskedasticity models,
Mohamed Arouri +2 more
wiley +1 more source
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets
Journal of Futures Markets, Volume 45, Issue 9, Page 1253-1277, September 2025.ABSTRACT This paper investigates the mean, volatility, skewness, and kurtosis of price spillovers from the natural gas, coal, and CO2 emissions markets into the German electricity market from 2010 to July 2023, segmented into three periods: pre‐Russo‐Ukrainian war, war‐triggered price rise, and postwar adjustment. Utilizing a flexible probability model
Filippos Ioannidis +2 more
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
Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange [PDF]
In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECO-GARCH are compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced volatility.
Yilmaz, Tolgahan
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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
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
Ellipsoidal Prediction Regions for Multivariate Uncertainty Characterization [PDF]
, 2017 While substantial advances are observed in probabilistic forecasting for power system operation and electricity market applications, most approaches are still developed in a univariate framework.
Azizipanah-Abarghooee, Rasoul +3 more
core +2 more sources
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