Results 31 to 40 of about 989 (203)
Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis
Discrete Dynamics in Nature and Society, Volume 2022, Issue 1, 2022., 2022 Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius cointegration tests.
Upananda Pani +5 more
wiley +1 more source
International Journal of Finance &Economics, Volume 26, Issue 3, Page 4441-4461, July 2021., 2021 Abstract This study examines the impact of investors’ buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our results suggest that the buy and sell trades have
Guglielmo Maria Caporale +3 more
wiley +1 more source
Estimating the volatility of asset pricing factors
Journal of Forecasting, Volume 40, Issue 2, Page 269-278, March 2021., 2021 Abstract Models based on factors such as size or value are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid assets, this measure is difficult to obtain for asset pricing factors such as size and value ...
Janis Becker, Christian Leschinski
wiley +1 more source
Complexity, Volume 2021, Issue 1, 2021., 2021 Carbon price fluctuation is affected by both internal market mechanisms and the heterogeneous environment. Moreover, it is a complex dynamic evolution process. This paper focuses on carbon price fluctuation trend prediction. In order to promote the accuracy of the forecasting model, this paper proposes the idea of integrating network topology ...
Hua Xu +2 more
wiley +1 more source
Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder‐LSTM Techniques
Complexity, Volume 2021, Issue 1, 2021., 2021 Since the breakdown of the Bretton Woods system in the early 1970s, the foreign exchange (FX) market has become an important focus of both academic and practical research. There are many reasons why FX is important, but one of most important aspects is the determination of foreign investment values. Therefore, FX serves as the backbone of international
Gunho Jung +2 more
wiley +1 more source
Commonality in the LME aluminium and copper volatility processes through a Figarch lens [PDF]
, 2007 We consider dynamic representation of spot and three month aluminium and copper volatilities. These are the two most important metals traded in the London Metal Exchange (LME).
Figuerola-Ferretti, Isabel +1 more
core +2 more sources
DEVELOPING THE HYBRID ARIMA- FIGARCH MODEL FOR TIME SERIES ANALYSIS
FUDMA JOURNAL OF SCIENCES, 2023 This study takes into account the newly developed hybrid ARIMA-FIGARCH. We use the daily price index of the S&P 500. The data employed for this study was secondary in nature for all the variables and was obtained from the publications of the Central Bank of Nigeria Bulletin, the National Bureau of Statistics, and the World Bank Statistics Database,
Musa Usman Bawa +4 more
openaire +1 more source
Testing for long memory in volatility in the Indian Forex market [PDF]
Ekonomski Anali, 2014 This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013.
Kumar Anoop S.
doaj +1 more source
Stock-return volatility persistence over short and long range horizons: Some empirical evidences
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2020 In this paper, we account for memory failure or otherwise in the daily evolution of stock return and volatility within the purview of short and long ranges based on the arrival of fundamental news.
Kolawole Subair, Ajibola Arewa
doaj +1 more source
Comparing the accuracy of the model Meta heuristic and Econometric in forecasting of financial time series with long-term memory (Case Study, Stock Index of Cement Industry in Iran) [PDF]
تحقیقات مالی, 2011 Data with high frequency have a particular type of none stationary that is called fractional none stationary. This property causes the emergence of long-term memory in financial time series with high frequency. The existence of long-term memory in cement
Farnaz Barzinpour +3 more
doaj