Results 61 to 70 of about 4,202 (205)
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
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
Complex Network Built From Stock Price Returns and Volumes to Predict Market Volatility and Volume
Complexity, Volume 2026, Issue 1, 2026.This study investigates if network features from stock return and trading volume correlations can improve one‐month‐ahead forecasts of Vietnam’s VNIndex volatility and volume (2018–2024). We construct dynamic financial networks using Threshold, Top‐k, and minimum spanning tree (MST) filtering methods, calculating metrics like density, centrality, and ...
N-K-K. Nguyen +3 more
wiley +1 more source
International Journal of Energy Research, Volume 2026, Issue 1, 2026.As the leading energy source, oil price volatility has crucial effects in energy markets, and geopolitical risks (GPRs) and economic policy uncertainties contribute to its volatility. Further, chaos, long‐range dependence, fractionality, and complexity significantly reduce modeling and forecast performances.
Özgür Ömer Ersin +2 more
wiley +1 more source
Perbandingan Model Garch Dan Egarch Harga Cabai Rawit Kota Surabaya [PDF]
, 2021 Melonjaknya harga cabai merupakan salah satu pemicu tingginya inflasi Kota Surabaya. Hal ini menjadi titik acuan dalam penelitian ini dalam mencegah inflasi tinggi perlu dilakukan pemilihan model yang tepat dan analisis prediksi.
Siti Amelia Dewi Safitri, -
core
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 +3 more sources
International Stock Forecasting Using Ensemble Deep Graph Models and Complex Network Analysis
International Journal of Intelligent Systems, Volume 2026, Issue 1, 2026.International stock forecasting faces challenges as global stock markets become increasingly synchronized. This study develops a prediction model for 46 global stock prices by examining the complex interconnectedness of the global stock network. We propose a multilevel fusion approach that integrates technology and knowledge for accurate international ...
Sangjin Park +2 more
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
Stock Return, Volume and Volatility in the EGARCH model
Journal of Insurance and Finance, 2020 I use EGARCH model to study the asymmetric impact of negative and positive shocks on stock return volatility. I find the asymmetric effects exist and the impact on volatility of a negative shock is greater than that of a positive shock. Furthermore, I examine the dynamic relationship between returns, volume and volatility of stock index by introducing ...
openaire +1 more source
Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.This paper proposes a wavelet‐based framework to improve parameter estimation and forecasting performance in combined ARIMA–GARCH models for nonlinear and non‐normal time series with time‐varying variance. Although standard ARIMA–GARCH models are widely used to describe conditional mean and volatility dynamics, they may fail to capture localized and ...
Najlaa Saad Ibrahim Alsharabi +3 more
wiley +1 more source