Dynamic linkages and determinants of sovereign CDS and exchange rates: evidence from G7 and BRICS
Humanities & Social Sciences CommunicationsIn the wake of the COVID-19 pandemic, global public debt has escalated, further intensified by ongoing geopolitical tensions. This paper explores the dynamic relationship between sovereign credit risk and exchange rate fluctuations through the innovative
Min Su +3 more
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Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019). [PDF]
SN Bus Econ, 2022 Vogl M.
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Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model [PDF]
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect.
Bent Jesper Christensen +2 more
core
The persistence of financial volatility after COVID-19. [PDF]
Financ Res Lett, 2022 Vera-Valdés JE.
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Multifractality: Theory and Evidence an Application to the French Stock Market [PDF]
This article presents the basics of multifractal modelling and shows the multifractal properties of the French Stock Market (CAC40). Monte Carlo simulations prove that the Multifractal Model of Asset Returns (MMAR) is a better model to replicate the ...
Jérôme Fillol
core
Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis. [PDF]
Heliyon, 2023 Ben-Ahmed K, Theiri S, Kasraoui N.
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
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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
Long memory of volatility measures in time series [PDF]
The authors analyse relations between the long memory parameter of conditional variance and estimates of the long memory in squared residuals in FIGARCH models. The investigations are performed by means of simulations FIGARCH(0, d, 0) and FIGARCH(1, d, 1)
Henryk Gurgul, Tomasz Wojtowicz
core
Estimation and Prediction of Commodity Returns Using Long Memory Volatility Models
RisksModelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity price returns are crucial.
Kisswell Basira +4 more
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