Results 51 to 60 of about 12,191 (249)
The Dynamics of European Economic Systems Amid the Russia–Ukraine Conflict: A Cybernetics Approach
The American Journal of Economics and Sociology, Volume 85, Issue 1, Page 129-148, January 2026.ABSTRACT This study analyzes the dynamics of European economic systems in the context of the Russia–Ukraine conflict, employing a cybernetics approach and advanced econometric models. Based on the premise that national economies operate as complex adaptive systems, the study investigates the impact of geopolitical shocks on macroeconomic equilibrium ...
Ionuț Nica +3 more
wiley +1 more source
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
doaj +1 more source
The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH [PDF]
SSRN Electronic Journal, 2017 In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991).
Chang, Chia-Lin, McAleer, Michael
openaire +4 more sources
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1098-1124, November 2025.This article considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of accounting for the leverage effect. We adopt simulation‐based methods to address key challenges in parameter estimation, the filtering of time‐varying volatility, and volatility forecasting.
Francisco Blasques +2 more
wiley +1 more source
Asymmetric long memory garch: a reply to hwang's model [PDF]
, 2003 Hwang (Econom. Lett. 71 (2001) 1) proposes the FIFGARCH model to represent long memory asymmetric conditional variances. However, the model is badly specified and does not nest some fractionally integrated heteroskedastic models previously proposed.
Pérez, Ana, Ruiz, Esther
core +5 more sources
Do political events affect stock return volatility on Indonesian Stock Exchange
Journal of Economics, Business & Accountancy Ventura, 2019 This study has the purpose to examine the effect of political events on the volatility of stocks traded on the Indonesia Stock Exchange (IDX). Furthermore, this study also sees whether such political events also influence the shares that have direct ...
Vina Nurlita, Prima Naomi
doaj +1 more source
Assessing the relation between equity risk premium and macroeconomic volatilities in the UK [PDF]
, 2008 This paper uses the exponential GARCH-in-mean model to analyse the relationship between the equity risk premium and macroeconomic volatility. This premium depends upon conditional volatility, which is significantly affected by the long bond yield, acting
Kizys, Renatas, Spencer, P.
core
Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1064-1084, November 2025.ABSTRACT Statistical inference—estimation and testing—for stochastic volatility models is challenging and computationally expensive. This problem is compounded when leverage effects are allowed. We propose efficient, simple estimators for higher‐order stochastic volatility models with leverage [SVL(p)$$ (p) $$], based on a small number of moment ...
Md. Nazmul Ahsan +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
doaj +1 more source
Improving Forecasts of the EGARCH Model Using Artificial Neural Network and Fuzzy Inference System
Journal of Mathematics, 2020 This paper proposes an innovative semiparametric nonlinear fuzzy-EGARCH-ANN model to solve the problem of accurate modeling for forecasting stock market volatility.
Geleta T. Mohammed +2 more
doaj +1 more source