Results 31 to 40 of about 886 (182)
Trends in Business and EconomicsBu çalışmada özellikle gelişmekte olan ülkelerin iç ve dış denge amaçları açısından son derece önemli olan finansal dışa açıklık ve faiz oranının döviz kuru oynaklığı üzerindeki etkileri araştırma konusu yapılmıştır.
Elifnur Tığtepe, Sevda Yapraklı
doaj +1 more source
Australian Economic Papers, EarlyView.ABSTRACT This study examines volatility interconnectedness among selected agricultural commodities and precious/industrial metals, together with oil price uncertainty and global supply chain pressure, over the period January 1998 to June 2024 using a Quantile‐on‐Quantile connectedness framework.
Muhammed Benli, Halil Altıntaş
wiley +1 more source
Cogent Economics & Finance, 2016 This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey.
Lidija Dedi, Burhan F. Yavas
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Robust CDF‐Filtering of a Location Parameter
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania +2 more
wiley +1 more source
Modeling and Forecasting Volatility through EGARCH-X and EGARCH-CJ Models
ZERO: Jurnal Sains, Matematika dan Terapan<p>This study compares the performance of EGARCH-X and EGARCH-CJ models in forecasting financial market volatility using daily TOPIX data (2004–2011). Model parameters were estimated using an efficient Bayesian MCMC framework. The results indicate that the EGARCH-CJ model, which decomposes volatility into continuous and jump components, provides ...
Nugroho, Didit Budi; Universitas Kristen Satya Wacana, Indonesia +2 more
openaire +2 more sources
Journal of Futures Markets, Volume 46, Issue 9, Page 1719-1747, September 2026.ABSTRACT This study examines the efficiency of systemic risk transmission to international oil futures markets by analyzing the dynamic connectedness between three distinct Common Volatility (COVOL) measures: Energy, Asset, and Country, and compares such with five major oil benchmarks.
Thomas Conlon +3 more
wiley +1 more source
Expert Systems, Volume 43, Issue 9, September 2026.ABSTRACT Forecasting cryptocurrency prices remains challenging due to extreme volatility, regime‐dependent dynamics, and unstable cross‐asset correlations. Statistical methods such as ARIMA and GARCH assume stationarity and linear dependence structures, making them inadequate for capturing non‐linear temporal patterns in high volatile cryptocurrency ...
Huali Zhao +2 more
wiley +1 more source
A new method for estimating liquidity and stock returns in Indian stock market
China Accounting and Finance ReviewThis study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity return of the Indian equity market. It also examines the effects of illiquidity and decomposed illiquidity on the conditional volatility of the ...
Tapas Kumar Sethy, Naliniprava Tripathy
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The Relationship Between Interest Rates and Agricultural Commodity Price Dynamics
Agribusiness, Volume 42, Issue 3, Page 1301-1315, Summer 2026.ABSTRACT The U.S. Federal Reserve has undertaken several interest rate interventions in the past decade. This study explores the relationship between U.S. corn and soybean prices and Federal Reserve monetary policy interventions, in the short and long run.
Zhining Sun, Ani L. Katchova
wiley +1 more source