The price continuity, return and volatility spillover effects of regular and after-hours trading. [PDF]
PLoS OneChiu CL, Chang TH, Hsiao IF, Chiou DS.
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Analyzing risk contagion and volatility spillover across multi-market capital flow using EVT theory and C-vine Copula. [PDF]
HeliyonAfzal F, Pan H, Afzal F, Gul RF.
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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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DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions. [PDF]
Quant FinanceMoreno-Pino F, Zohren S.
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Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index. [PDF]
Entropy (Basel), 2022 Vo N, Ślepaczuk R.
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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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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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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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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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