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Strategic Risk Based Forecasting of Brent Crude Oil Prices: A Comparative Analysis of Econometric and Machine Learning Models. [PDF]
Entropy (Basel)Yılmaz TE, Zehir C.
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Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic. [PDF]
J Econ Asymmetries, 2022 Vuong GTH, Nguyen MH, Huynh ANQ.
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ECG Signal Modeling Using Volatility Properties: Its Application in Sleep Apnea Syndrome. [PDF]
J Healthc Eng, 2021 Faal M, Almasganj F.
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Research on the Tail Risk Spillover Effect of Cryptocurrencies and Energy Market Based on Complex Network. [PDF]
Entropy (Basel)Gong XL, Wang XT.
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Enhancing Prediction by Incorporating Entropy Loss in Volatility Forecasting. [PDF]
Entropy (Basel)Urniezius R +9 more
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Volatility Spillover between the IDR-USD Exchange Rate and Sectoral Stock Indices using EGARCH Model
The exchange rate is an important indicator in an open economy such as Indonesia, where fluctuations in currency values, particularly the USD against the IDR, have a significant impact on the Indonesian financial market. Sectoral stock indices, as one of
Putri Zahra Helena +2 more
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Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]
PLoS OneSiddiqui N, Mohamad Hasim H.
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EGARCHモデルについてThis paper considers the EGARCH(exponential GARCH)model, which is one of the conditional heteroscedastic models. The EGARCH model allows for asymmetric effects between positive and negative asset returns. First, with the daily return data of TOPIX used, the paper estimates parameters of EGARCH models and comparing them with other GARCH models by AIC ...
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