Results 51 to 60 of about 5,743 (206)
Financial Time Series Uncertainty: A Review of Probabilistic AI Applications
Journal of Economic Surveys, Volume 40, Issue 2, Page 915-953, April 2026.ABSTRACT Probabilistic machine learning models offer a distinct advantage over traditional deterministic approaches by quantifying both epistemic uncertainty (stemming from limited data or model knowledge) and aleatoric uncertainty (due to inherent randomness in the data), along with full distributional forecasts.
Sivert Eggen +4 more
wiley +1 more source
EGARCH-RR: realized ranges explaining EGARCH volatilities [PDF]
, 2015 The purpose of this paper is to investigate whether the inclusion of a realized measure of volatility as external regressor on the GARCH and EGARCH variance equation would result in more accurate ts.
Mendes, Beatriz Vaz de Melo +1 more
core
The Monetary Policy–Commodities Nexus: A Survey
Journal of Economic Surveys, Volume 40, Issue 2, Page 1050-1082, April 2026.ABSTRACT This survey synthesizes evidence on the bidirectional links between commodity markets and monetary policy. On the commodities‐to‐policy side, we review how shocks to energy, food, and metals pass through to inflation, inflation expectations, economic activity, and financial stability in state‐dependent ways that vary by shock type, exposure ...
Martin T. Bohl +2 more
wiley +1 more source
World Gold Price Forecast using APARCH, EGARCH and TGARCH Model
InPrime, 2020 Investment is a process of investing money for profit or material result. One investment commodity is gold. Gold is a precious metal in which the value tends to fluctuate over time.
Yanne Irene +2 more
doaj +1 more source
Business Review, 2022 This study examines the volatility transmission between the currency market and the stock market of Pakistan in the presence of structural breaks. For this purpose, daily data from the stock market and currency market is analyzed.
Muhammad Jamil , Hifsa Mobeen
doaj +1 more source
Information‐Driven Modeling of Energy Markets: An Unbalanced Wasserstein Barycenter Approach
Applied Stochastic Models in Business and Industry, Volume 42, Issue 2, March/April 2026.ABSTRACT A novel methodology is proposed for jointly modeling the price dynamics of natural gas and electricity by integrating graph‐based Machine Learning and optimal transport theory. The framework combines visibility graph embeddings with the Wasserstein barycenter to uncover latent structures and asymmetric dependencies between the two ...
Carlo Mari +2 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
Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 This study evaluates performance of Indian index considering NIFTY MIDCAP 50 index daily series returns. Autoregressive model EGARCH forecasts the volatility predictability and empirically analyze volatility pattern considering daily returns from NIFTY ...
Ramona Birau +2 more
doaj
المقارنة بين نماذج EGARCH والشبكات العصبية الاصطناعية في قياس أثر المخاطر المنتظمة على المؤشر العام لسوق الأوراق المالية في مصر [PDF]
The Egyptian Statistical Journal, 2014 The main objective of this paper is to make a comparison between an EGARCH models and artificial neural networks approach in measuring the impact of systematic risk on the stock market index in Egypt.
ماهر احمد علي
doaj +1 more source
Business Strategy and the Environment, Volume 35, Issue 3, Page 3561-3606, March 2026.ABSTRACT Investors have long recognized the importance of firms in promoting sustainability, leading to the rise of socially responsible investment (SRI). Specifically, there is a growing preference for exchange‐traded funds (ETFs) that prioritize environmental, social, and governance (ESG) principles.
Sandra Tenorio‐Salgueiro +3 more
wiley +1 more source