Results 51 to 60 of about 312 (108)

Does fuel price volatility induce price instability in the agricultural commodity supply chain? Empirical evidence from Ghana

Journal of Agriculture and Food Research
Food price volatility has become a hot topic after the global food crisis of 2007/2008 and 2010/2011 due to the livelihood threat it poses, particularly to poor households.
Awura-Abena Amoah Osei, Seth Etuah, Fred Nimoh, Bright Owusu Asante, Isaac Abunyuwah, Nicholas Oppong Mensah   +5 more
doaj   +1 more source

Analysing the impacts of unscheduled news events on stock market contagion during the epidemic

International Journal of Finance &Economics, Volume 30, Issue 1, Page 590-601, January 2025.
Abstract This paper investigates the impact of unscheduled news announcements on market contagion during the COVID‐19 pandemic. Using coexceedance of stock returns as a metric for market contagion effect, we assess the contribution of news releases from the United States and China on the financial contagion of a representative group of global equity ...
Yi Zhang, Long Zhou, Baoxiu Wu, Fang Liu
wiley   +1 more source

BEKK Element-by-Element Estimation of a Volatility Matrix. A Portfolio Simulation

, 2014
The use of a BEKK (Baba-Engle-Kraft-Kroner) model is proposed to estimate the volatility of a set of financial historical series with a view to the selection of a stock portfolio.
NACCARATO, ALESSIA, Alessia Naccarato, PIERINI A., Andrea Pierini   +3 more
core   +1 more source

The implications of non‐synchronous trading in G‐7 financial markets

International Journal of Finance &Economics, Volume 30, Issue 1, Page 689-709, January 2025.
Abstract We investigate the effects of non‐synchronous trading on volatility spillover for the G‐7 equity markets during the Eurozone sovereign debt crisis (ESDC) and the Covid‐19 pandemic crisis. For data synchronisation we utilise ΜΑ(1) adjusted return series to estimate the Baba‐Engle‐Kraft‐Kroner (BEKK) and the dynamic conditional correlation (DCC)
Dimitrios Dimitriou, Dimitris Kenourgios, Theodore Simos, Alexandros Tsioutsios   +3 more
wiley   +1 more source

Financialisation of the European Union Emissions Trading System and its influencing factors in quantiles

International Journal of Finance &Economics, Volume 30, Issue 1, Page 925-940, January 2025.
Abstract This study analyses the financialisation of the carbon market and its possible external shocks, with a focus on the European Union Emissions Trading System (EU ETS), by investigating its quantile dependence and influence paths from stage three onwards.
Ping Wei, Jingzi Zhou, Xiaohang Ren, Luu Duc Toan Huynh   +3 more
wiley   +1 more source

dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models [PDF]

, 2021
Vincenzo Candila
openalex   +1 more source

Macroeconomic adjustments to Russia–Ukraine war‐induced energy prices shocks in sub‐Saharan Africa: Effects based on countries' resource status

African Development Review, Volume 36, Issue S1, Page S59-S74, December/Décembre 2024.
Abstract The Russia–Ukraine crisis has significantly disrupted global supply chains, leading to sharp oil and natural gas price increases. These energy price surges have impacted productivity in sub‐Saharan Africa (SSA), with potential long‐term effects on purchasing power and economic growth. Additionally, the crisis has highlighted varying impacts of
Shakirudeen Taiwo, Josine Uwilingiye, Kwame Osei‐Assibey   +2 more
wiley   +1 more source

Class integration of ChatGPT and learning analytics for higher education

Expert Systems, Volume 41, Issue 12, December 2024.
Abstract Background Active Learning with AI‐tutoring in Higher Education tackles dropout rates. Objectives To investigate teaching‐learning methodologies preferred by students. AHP is used to evaluate a ChatGPT‐based studented learning methodology which is compared to another active learning methodology and a traditional methodology.
Miguel Civit, María José Escalona, Francisco Cuadrado, Salvador Reyes‐de‐Cozar   +3 more
wiley   +1 more source

A Bayesian Monte Carlo Variational Inference Estimation Procedure for Dynamic Factor Models on Stock Price Returns

IEEE Access
Dynamic factor models (DFMs) provide a framework for distilling high-dimensional time series data into a small set of unobserved latent factors. Traditional statistical methods for estimating DFMs are often computationally intensive and can be inflexible
Benedict Ryan Tiu, Dominic Dayta, Hans Jarett Ong, Brian Godwin Lim, Kazushi Ikeda   +4 more
doaj   +1 more source

Threshold Network GARCH Model

Journal of Time Series Analysis, Volume 45, Issue 6, Page 910-930, November 2024.
Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and its variations have been widely adopted in the study of financial volatilities, while the extension of GARCH‐type models to high‐dimensional data is always difficult because of over‐parameterization and computational complexity. In this article, we propose a multi‐variate GARCH‐
Yue Pan, Jiazhu Pan
wiley   +1 more source