Results 61 to 70 of about 12,191 (249)
Bayesian modeling and forecasting of 24-hour high-frequency volatility: A case study of the financial crisis [PDF]
, 2014 This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities, seasonal ...
Johannes, Michael S. +1 more
core
Environmetrics, Volume 36, Issue 7, October 2025.ABSTRACT Climate change is increasingly recognized as a driver of health‐related outcomes, yet its impact on pharmaceutical demand remains largely understudied. As environmental conditions evolve and extreme weather events intensify, anticipating their influence on medical needs is essential for designing resilient healthcare systems.
Viviana Schisa, Matteo Farnè
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
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
Examining the Financial Impact of Biodiversity‐Related Reputational Disasters
Corporate Social Responsibility and Environmental Management, Volume 32, Issue 4, Page 4500-4522, July 2025.ABSTRACT This research investigates the reaction of financial markets to biodiversity‐related corporate events, utilising an EGARCH model to assess the implications on stock returns and volatility. Results reveal that markets significantly respond to these events, demonstrating heightened sensitivity and volatility that underscore the financial ...
Erdinc Akyildirim, Shaen Corbet
wiley +1 more source
Hedging Foreign Exchange Risks with Gold: EGARCH Approach [PDF]
African Journal of Applied Statistics, 2014 This work presents an investigation on whether investments in Gold can serve as a hedge against the depreciation in currencies. The long term relationship between Gold price and the Japanese Yen per US Dollar, British Pound per US Dollar and South African Rand per US Dollar exchange rate was investigated using monthly data on Gold price and the three ...
GIDEON, Frednard, NUUGULU, Samuel
openaire +2 more sources
Evaluating the Resilience of ESG Investments in European Markets During Turmoil Periods
Corporate Social Responsibility and Environmental Management, Volume 32, Issue 4, Page 5006-5020, July 2025.ABSTRACT This study investigates the resilience of Environmental, Social, and Governance (ESG) investments during periods of financial instability, comparing them with traditional equity indices of the three largest economies in the European Union by gross domestic product: Germany, France, and Italy.
Barbara Iannone +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
Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers
Journal of Forecasting, Volume 44, Issue 4, Page 1266-1279, July 2025.ABSTRACT This paper introduces an extended multivariate EGARCH model that overcomes the zero‐return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear asymptotic properties of the QML estimator, our Monte ...
Yongdeng Xu
wiley +1 more source
VARMA-EGARCH Model for Air-Quality Analyses and Application in Southern Taiwan
Atmosphere, 2020 This study adopted the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model to analyze seven air pollutants (or the seven variables in this study) from ten air quality monitoring stations in the Kaohsiung–Pingtung Air ...
Edward Ming-Yang Wu, Shu-Lung Kuo
doaj +1 more source