Renewables, Spillovers, and Volatility: Evidence From Romania’s Restructuring Electricity Market
International Journal of Energy Research, Volume 2026, Issue 1, 2026.Our research study explores the dynamic interplay between Romania’s day‐ahead market (DAM) and intraday continuous (IDC) market in the context of rising renewable energy sources (RES) integration in Romania. Utilizing market data from June 2024 to mid of December 2025, the analysis incorporates both market transactions (prices and volumes) and system ...
Simona-Vasilica Oprea, Adela Bâra
wiley +1 more source
Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan [PDF]
This paper is first attempt to measure and analyze inflation uncertainty in Pakistan and it provides several contributions. Using quarterly data from 1976:01 to 2008:02, at first stage we model inflation uncertainty as time varying process through GARCH ...
Rizvi, Syed Kumail Abbas, Naqvi, Bushra
core
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
Parametric inference and forecasting in continuously invertible volatility models [PDF]
We introduce the notion of continuously invertible volatility models that relies on some Lyapunov condition and some regularity condition. We show that it is almost equivalent to the volatilities forecasting efficiency of the parametric inference approach
Cai, Sixiang, Wintenberger, Olivier
core
De l'intervention à l'instabilité: le paradoxe des réserves de change en contexte de dollarisation extrême. Une analyse EGARCH de la politique monétaire congolaise (2015-2025) [PDF]
Mouvements et Enjeux SociauxCet article évalue l’efficacité des interventions de change de la Banque Centrale du Congo (BCC) dans un environnement de dollarisation financière extrême (97 % des crédits et 91-92 % des dépôts en devises).
Jean-Louis KAYEMBE WA KAYEMBE
doaj
Modeling the Interactions between Volatility and Returns using EGARCH‐M
Journal of Time Series Analysis, 2018 An EGARCH‐M model, in which the logarithm of scale is driven by the score of the conditional distribution, is shown to be theoretically tractable as well as practically useful. A two‐component extension makes it possible to distinguish between the short‐ and long‐run effects of returns on volatility, and the resulting short‐ and long‐run volatility ...
Lange, Rutger-Jan, Harvey, AC
openaire +3 more sources
Alternative Asymmetric Stochastic Volatility Models [PDF]
The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility.
Michael McAleer, Manabu Asai
core +4 more sources
PEMODELAN FLUKTUASI HARGA SAHAM BERPOLA EGARCH [PDF]
, 2006 Muslikan, 2006 MODELING ON RETURN VOLATILITY BY EGARCH MODEL. Faculty of Mathematics and Natural Sciences, Sebelas Maret University, Surakarta.
MUSLIKAN,
core
EkonometriaAim: The main object of this study was to present a comparison between GARCH models, i.e. the standard GARCH model, asymmetric GJR-GARCH, and logarithmic EGARCH on exchange rate (IDR/USD) volatility.
Juwita Suwondo +3 more
doaj +1 more source
MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH
E-Jurnal Matematika, 2017 In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH.
VIKY AMELIAH +2 more
doaj +1 more source