Results 61 to 70 of about 5,743 (206)

THE DYNAMICS OF THE DOW JONES SUKUK VOLATILITY: EVIDENCE FROM EGARCH MODEL [PDF]

Business Excellence and Management, 2015
This paper aims to test the effect of asymmetric shocks on the volatility of the Dow Jones Sukuk. To this end, we applied the EGARCH model to give a clear idea of the effect of asymmetric shocks on the volatility of the sukuk.
Nadhem SELMI , Mohamed FAKHFEKH , Marwa BEN SALEM   +2 more
doaj  

Forecasting Carbon Prices: A Literature Review

Journal of Forecasting, Volume 45, Issue 2, Page 496-529, March 2026.
ABSTRACT Carbon emissions trading is utilized by a growing number of states as a significant tool for addressing greenhouse gas emissions (GHG), global warming problem and the climate crisis. Accurate forecasting of carbon prices is essential for effective policy design and investment strategies in climate change mitigation.
Konstantinos Bisiotis, Dimitris Christopoulos, George Tzougas   +2 more
wiley   +1 more source

Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

Cogent Economics & Finance, 2016
This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey.
Lidija Dedi, Burhan F. Yavas
doaj   +1 more source

Can Central Bank Communication Guide Individuals' Expectations About the Macroeconomy? Evidence From a Randomized Information Experiment in China

International Studies of Economics, Volume 21, Issue 1, Page 73-89, March 2026.
ABSTRACT Communication with the market to guide public expectations has become a pivotal monetary policy instrument for central banks worldwide. Therefore, assessing the efficacy of communication in influencing personal expectations is essential for central banks.
Yuying Jin, Sunyao Xia
wiley   +1 more source

Model Selection and Testing of Conditional and Stochastic Volatility Models [PDF]

This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and ...
Caporin, M., McAleer, M.J.
core   +4 more sources

Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi

Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi
Modern finans teorisinin köşe taşlarından biri olan Etkin Piyasa Hipotezi, piyasada mevcut olan tüm bilginin kullanılması suretiyle piyasanın üzerinde getiri elde edilemeyeceğini öne sürmektedir. Bununla birlikte finansal piyasalarda yapılan çalışmaların
Arzu Özmerdivanlı
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, Jane A. Aduda, Ananda O. Kube   +2 more
doaj   +1 more source

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, Jiang Wu, Richard McManus, Yang Liu   +3 more
wiley   +1 more source

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, Nora Chiriță, Ștefan Cioaric, Silviu Chihai   +3 more
wiley   +1 more source

Risk–Return Dynamics and Volatility Connectedness of ESG‐Aligned Assets: Extant Evidence, Patterns, and Inquiries

Complexity, Volume 2026, Issue 1, 2026.
The advancement of ESG‐aligned assets has increased attention in comprehending their risk–return dynamics and volatility behavior in the financial market; however, existing research provides fragmented and mixed evidence, suggesting the necessity of an integrated synthesis.
Laxman Tandan, Rudra P. Pradhan, Bikash Rana, Shonak Bansal   +3 more
wiley   +1 more source