Results 71 to 80 of about 12,191 (249)
A note on the determinants of non‐fungible tokens returns
International Journal of Finance &Economics, Volume 30, Issue 3, Page 3201-3211, July 2025.Abstract We aim to identify the determinants of non‐fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty‐three potential drivers of the returns of each NFT are considered.
Theodore Panagiotidis +1 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
Forecasting Digital Asset Return: An Application of Machine Learning Model
International Journal of Finance &Economics, Volume 30, Issue 3, Page 3169-3186, July 2025.ABSTRACT In this study, we aim to identify the machine learning model that can overcome the limitations of traditional statistical modelling techniques in forecasting Bitcoin prices. Also, we outline the necessary conditions that make the model suitable.
Vito Ciciretti +4 more
wiley +1 more source
The Shanghai- Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH [PDF]
, 2020 Christian Peitz +3 more
openalex +1 more source
VOLATILITY ANALYSIS USING THE EGARCH METHOD: CASE STUDY OF BBCA, BMRI, BRIS
Assets: Jurnal Akuntansi dan PendidikanThis study aimed to test the volatility model of BBCA and BMRI stocks on the IDX. The research problem is whether there is an influence of BBCA and LQ45 volatility on BMRI and vice versa.
Suhendro Suhendro, Purnama Siddi
doaj +1 more source
Spatial and spatiotemporal volatility models: A review
Journal of Economic Surveys, Volume 39, Issue 3, Page 1037-1091, July 2025.Abstract Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, in the case of positive spatial dependence, if two locations are in close proximity ...
Philipp Otto +4 more
wiley +1 more source
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 +2 more
doaj
Evaluating exponential GARCH models [PDF]
In this paper, a unified framework for testing the adequancy of an estimated EGARCH model is presented. The tests are Lagrange multiplier or Lagrange multiplier type tests and include testing an EGARCH model against a higher-order one and testing ...
Malmsten, Hans
core
Modelling Volatility Cycles: The MF2‐GARCH Model
Journal of Applied Econometrics, Volume 40, Issue 4, Page 438-454, June/July 2025.ABSTRACT We propose a novel multiplicative factor multi‐frequency GARCH (MF2‐GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one‐component GARCH models are predictable by a moving average of past standardized forecast errors.
Christian Conrad, Robert F. Engle
wiley +1 more source
Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi
Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu DergisiModern 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