Results 41 to 50 of about 989 (203)

Short‐run wavelet‐based covariance regimes for applied portfolio management

Journal of Forecasting, Volume 39, Issue 4, Page 642-660, July 2020., 2020
Abstract Decisions on ass et allocations are often determined by covariance estimates from historical market data. In this paper, we introduce a wavelet‐based portfolio algorithm, distinguishing between newly embedded news and long‐run information that has already been fully absorbed by the market.
Theo Berger, Ramazan Gençay
wiley   +1 more source

Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation [PDF]

Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2020
In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation ...
Ghlamreza Keshavarz-Haddad, Mohammad Amin Zabol   +1 more
doaj   +1 more source

How Does Internet Information Affect Oil Price Fluctuations? Evidence from the Hot Degree of Market

Discrete Dynamics in Nature and Society, Volume 2020, Issue 1, 2020., 2020
Not only the fundamentals of supply and demand but also international oil prices are affected by nonfundamental indicators such as emergencies. With the development of big data technology, many unstructured and semistructured factors can be reflected through Internet information. Based on this, this paper proposes a HD‐based oil price forecasting model
Lu-Tao Zhao, Shi-Qiu Guo, Jing Miao, Ling-Yun He, Alfred Peris   +4 more
wiley   +1 more source

Modeling and Forecasting the Volatility of Eastern European Emerging Markets

East Asian Economic Review, 2009
This study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, naThis study has attempted to seek a volatility forecasting ...
Sang Hoon Kang , Seong-Min Yoon
doaj   +1 more source

Uma avaliação da volatilidade dos preços da soja no mercado internacional com dados de alta frequência An evaluation of the volatility of soybeans prices in the international market using high frequency data

Gestão & Produção, 2012
Neste trabalho foram avaliados os ajustes de cinco modelos para previsão da variância, utilizando-se uma série de preços de soja, uma commodity negociada na bolsa de mercadorias de Chicago (CBOT), com dados de alta frequência. Os modelos utilizados foram
Mario Domingues Simões, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto, Gabriel Levrini   +3 more
doaj   +1 more source

Evaluation of Dual Long Memory Properties with Emphasizing the Skewed and Fat-Tail Distribution: Evidence from Tehran Stock Exchange [PDF]

Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2014
This paper investigates the presence of long memory in the Tehran stock market, using the ARFIMA, GPH, GSP and FIGARCH models. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatilities of TEPIX ...
Mohammad Javad Mohagheghnia, Kashi Mansoor, Alireza Daliri, Mohammad Donyaei   +3 more
doaj  

Enhanced state-space estimation of long-memory commodity volatility using the Unscented Kalman Filter and variational Bayes method for non-linear modeling

Frontiers in Applied Mathematics and Statistics
This study addresses the limitations of the Kalman Filter (KF) by extending the application of the Unscented Kalman Filter (UKF) and the variational Bayes method (VBM) for estimating long-memory (LM) volatility models.
Kisswell Basira, Lawrence Dhliwayo, Florance Matarise   +2 more
doaj   +1 more source

Quantile‐Dependent Volatility Interconnectedness Between Commodity Markets, Oil Price Uncertainty, and Global Supply Chain Pressure

Australian Economic Papers, Volume 65, Issue 3, Page 222-260, September 2026.
ABSTRACT This study examines volatility interconnectedness among selected agricultural commodities and precious/industrial metals, together with oil price uncertainty and global supply chain pressure, over the period January 1998 to June 2024 using a Quantile‐on‐Quantile connectedness framework.
Muhammed Benli, Halil Altıntaş
wiley   +1 more source

A Hybrid LSTM Neural Network Approach for Modeling Periodical Long-Memory Characteristics in Financial Energy Index Time Series [PDF]

Mathematics and Modeling in Finance
Forecasting financial market volatility has always been a major challenge in economics and financial engineering. In this study, a hybrid approach based on FIGARCH and PLM-GARCH models combined with Long Short-Term Memory (LSTM) neural networks is ...
Minou Yari, Mohammad Reza Salehi Rad, Mohammad Bahrani   +2 more
doaj   +1 more source

Does the Oil Market Volatility have Long Run Memory? [PDF]

Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2011
This paper has examined the long memory of oil market volatility. For this purpose, the paper has employed different types of long run ARCH models including FIGARCH-BBM, FIGARCH-chung, FIEGARCH, FIAPARCH-BBM and FIAPARCH-chung and short run ones ...
Seed Rasekhi, Amir Khanalipour
doaj