Results 141 to 150 of about 989 (203)

Application of FIGARCH and EWMA Models on Stock Indices PX and BUX

Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have appeared ...
Zdeněk Štolc
core  

Value at Risk long memory volatility models with heavy-tailed distributions for cryptocurrencies. [PDF]

Front Appl Math Stat
Subramoney SD, Chinhamu K, Chifurira R.
europepmc   +1 more source

Stock Market Volatility and Return Analysis: A Systematic Literature Review. [PDF]

Entropy (Basel), 2020
Bhowmik R, Wang S.
europepmc   +1 more source

Market-crash forecasting based on the dynamics of the alpha-stable distribution. [PDF]

Physica A, 2020
Molina-Muñoz J, Mora-Valencia A, Perote J.   +2 more
europepmc   +1 more source

Cointegration and causality relationship of Indian stock market with selected world markets. [PDF]

F1000Res, 2022
Ali F, Suri P, Kaur T, Bisht D.
europepmc   +1 more source

Volatility Dynamics of Non-Linear Volatile Time Series and Analysis of Information Flow: Evidence from Cryptocurrency Data. [PDF]

Entropy (Basel), 2022
Sheraz M, Dedu S, Preda V.
europepmc   +1 more source

DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions. [PDF]

Quant Finance
Moreno-Pino F, Zohren S.
europepmc   +1 more source

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method. [PDF]

Physica A, 2022
Zhu P, Lu T, Chen S.
europepmc   +1 more source

Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]

PLoS One
Siddiqui N, Mohamad Hasim H.
europepmc   +1 more source