Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak. [PDF]
Resour Policy, 2021 Song Y, Bouri E, Ghosh S, Kanjilal K.
europepmc +1 more source
Are realized volatility models good candidates for alternative Value at Risk prediction strategies? [PDF]
In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors.
Louzis, Dimitrios P. +2 more
core +1 more source
"Modelling Long Memory Volatility in Agricultural Commodity Futures Returns" [PDF]
This paper estimates the long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton ...
Chia-Lin Chang +2 more
core +3 more sources
Pricing of futures Bitcoin price under fractional volatility
, 2023 boughabi h, qalli ye.
europepmc +1 more source
Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. [PDF]
Energy Econ, 2020 Corbet S, Goodell JW, Günay S.
europepmc +1 more source
The nexus between black and digital gold: evidence from US markets. [PDF]
Ann Oper Res, 2021 Huynh TLD +4 more
europepmc +1 more source
The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields. [PDF]
Q Rev Econ Finance, 2022 Caporale GM, Gil-Alana LA, Poza C.
europepmc +1 more source
The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland [PDF]
The main objective of the paper is the verification of usefulness of the ARFIMA-FIGARCH class models in the description of tendencies in the energy consumption in a selected region of the southern Poland taking into consideration weather variables ...
Aneta Wlodarczyk, Marcin Zawada
core
Pricing of options under different volatility models [PDF]
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects.
Herzberg, Markus, Sibbertsen, Philipp
core
Fintech in islamic finance literature: A review. [PDF]
Heliyon, 2022 Alshater MM +3 more
europepmc +1 more source