Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances. [PDF]
J Environ Stud Sci, 2023 Villar-Rubio E +2 more
europepmc +1 more source
Empirical Analysis of Carbon Price Based on EGARCH
Journal of Physics: Conference Series, 2019 Abstract The carbon trading market has been increasingly heated for more than a decade, and its market participants and market rules are not exactly the same as traditional stock or exchange rate markets. Based on the mature and efficient GARCH series model, this thesis analyzes the rules of the carbon trading market.
openaire +1 more source
Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO [PDF]
The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significant production and employment.
Biing-Wen Huang +3 more
core +3 more sources
Scientific AfricanAccurate stock volatility forecasting is critical for informed investment decisions and effective risk management. This study proposes an attention-guided hybrid modeling framework that integrates Generalized Autoregressive Conditional Heteroskedasticity
Wandile Nhlapho +2 more
doaj +1 more source
A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model. [PDF]
Ann Oper Res, 2023 Song M, Sui Z, Zhao X.
europepmc +1 more source
Delta-neutral volatility trading with intra-day prices: an application to options on the DAX [PDF]
This paper evaluates the profitability of applying four different volatility forecasting models to the trading of straddles on the German stock market index DAX.
Kaehler, Jürgen, Schmitt, Christian
core
LSTM-GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. [PDF]
Comput Econ, 2023 García-Medina A, Aguayo-Moreno E.
europepmc +1 more source
"Modelling and Forecasting Daily International Mass Tourism to Peru" [PDF]
Peru is a South American country that is divided into two parts by the Andes Mountains. The rich historical, cultural and geographic diversity has led to the inclusion of ten Peruvian sites on UNESCO's World Heritage List.
Jose Angelo Divino, Michael McAleer
core
Exponential conditional volatility models [PDF]
The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models.
Andrew Harvey
core
Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods. [PDF]
SN Bus Econ, 2022 Sahiner M.
europepmc +1 more source