Results 51 to 60 of about 11,262 (157)
Information Flows, Stock Market Volatility and the Systemic Risk in Global Finance
International Journal of Finance &Economics, Volume 31, Issue 1, Page 151-173, January 2026.ABSTRACT Information flows are a theoretical explanation for stock market volatility, but controversy remains regarding how to measure them. Based on cross‐sectional and temporal properties of information flows, we decompose total trading volume into four types: cross‐country shocks and country‐specific shocks due to arrivals of private information ...
Yen‐Hsiao Chen +3 more
wiley +1 more source
Ekonomi Maliye İşletme DergisiThe Covid-19 pandemic is recognized as one of the most important pandemics of the last century and has led to a global recession and decline, affecting all sectors in different ways. In this study, volatility spillovers between variables are analyzed. In
Erkan Alsu, İbrahim Halil Uçar
doaj +1 more source
Determinants of the ZAR/USD exchange rate and policy implications: A simultaneous-equation model
Cogent Economics & Finance, 2016 This paper examines the determinants of the South African rand/US dollar (ZAR/USD) exchange rate based on demand and supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the South ...
Yu Hsing
doaj +1 more source
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
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
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
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
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
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
Market efficiency and the Euro: the case of the Athens Stock Exchange [PDF]
, 2003 The efficient market hypothesis (EMH) is tested in the case of the Athens Stock Exchange (ASE) after the introduction of the euro. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the ...
Panagiotidis, T
core +1 more source