Results 31 to 40 of about 5,743 (206)
Modeling Long Memory and Regime Switching with an MRS-FIEGARCH Model: A Simulation Study
Axioms, 2023 Recent research suggests that long memory can be caused by regime switching and is easily confused with it. However, if the causes of confusion were properly controlled, they could be distinguished.
Caixia Zhang, Yanlin Shi
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The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks
Studies in Business and Economics, 2016 This paper examines the mean, volatility spillovers and response asymmetries between short-term and long-term interest rates, exchange rates and portfolios of money center, large and medium-sized banks in the U.S. I use the multivariate version of Nelson’
Priti Verma
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Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2023 This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to the Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH.
José Eduardo Medina Reyes +2 more
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On the Invertibility of EGARCH(p,q) [PDF]
, 2015 The authors are grateful to the Editor-in-Chief, Rob Taylor, an Associate Editor and two referees for very helpful comments and suggestions, and to Christian Hafner for insightful discussions.
Martinet, Guillaume Gaetan +1 more
core +4 more sources
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
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Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +1 more source
A Time Series Analysis of the Nexus Between Macroeconomic Fundamentals and Stock Prices in Nigeria
Studies in Business and Economics, 2018 Since macroeconomic fundamentals have been found to play a vital role for changes in the economy of a country. Consequently, the onus is on the appropriate regulatory authorities to take measures in making amendments in these policies to put the economy ...
Ditimi Amassoma, Ifeoluwa Bolarinwa
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Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets
Journal of Agricultural and Resource Economics, 2003 Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish.
Cumhur Buguk +2 more
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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