Results 51 to 60 of about 989 (203)
Forecasting Carbon Prices: A Literature Review
Journal of Forecasting, Volume 45, Issue 2, Page 496-529, March 2026.ABSTRACT Carbon emissions trading is utilized by a growing number of states as a significant tool for addressing greenhouse gas emissions (GHG), global warming problem and the climate crisis. Accurate forecasting of carbon prices is essential for effective policy design and investment strategies in climate change mitigation.
Konstantinos Bisiotis +2 more
wiley +1 more source
Stochastic equilibrium of free trade under a FIGARCH volatility
, 2023 Abstract Free trade for some economists gains so much attention, the horrible thing is though when a nation doesn't knit relations with other countries because this would harm the future gains almost if land or property is rare: what i had tried to mention is the importance of free trade as far as consumption is concerned, if the national ...
openaire +1 more source
Discrete Dynamics in Nature and Society, Volume 2026, Issue 1, 2026.Today, the astonishing growth of digital currency has attracted many bold investors. This has caused digital currencies to be gradually introduced as a new asset class with its own criteria. However, the relationship between traditional assets and new assets is not yet deeply understood. This study’s objective is to investigate the dynamic relationship
Farzaneh Shams Tarnabi, Fabio Tramontana
wiley +1 more source
Previsão de value-at-risk e expected shortfall para mercados emergentes usando modelos FIGARCH [PDF]
, 2015 This paper compares the performance of long-memory models (FIGARCH) with short-memory models (GARCH) in forecasting volatility for calculating value-at-risk (VaR) and expected shortfall (ES) for multiple periods ahead for six emerging markets stock ...
De Moraes, Alex Sandro Monteiro +2 more
core +1 more source
International Journal of Financial StudiesIn frontier markets, financial volatility exhibits long-memory properties and regime-dependent asymmetries that standard linear models do not capture. This leads to inaccuracies in forecasting risk when a single model is applied across regimes.
Abraham Kisembe Wawire +3 more
doaj +1 more source
A new multivariate nonlinear model to handle the volatility transmission
South African Journal of Industrial Engineering, 2014 Price volatility of stocks is an important issue in stock markets. It should also be taken into account that the stochastic nature of volatility affects decision-makers’ minds to a great extent. Therefore, predicting price volatility could help them make
Ebrahimi, Seyed Babak +1 more
doaj +1 more source
Journal of Futures Markets, Volume 45, Issue 8, Page 917-945, August 2025.ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley +1 more source
A note on asymptotic inference for FIGARCH($p, d, q$) models [PDF]
Statistics and Its Interface, 2011 Parameters estimation for a FIGARCH(p, d, q )m odel is studied in this paper. By constructing a compact parameter space Θ satisfying the non-negativity constraints for the FI- GARCH model, it is shown that the results of Robinson and Zaffaroni (2006) can be applied to establish the strong con- sistency and asymptotic normality of the quasi-maximum ...
Ngai Hang Chan, Chi Tim Ng
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Spatial and spatiotemporal volatility models: A review
Journal of Economic Surveys, Volume 39, Issue 3, Page 1037-1091, July 2025.Abstract Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, in the case of positive spatial dependence, if two locations are in close proximity ...
Philipp Otto +4 more
wiley +1 more source
Modelling Volatility Cycles: The MF2‐GARCH Model
Journal of Applied Econometrics, Volume 40, Issue 4, Page 438-454, June/July 2025.ABSTRACT We propose a novel multiplicative factor multi‐frequency GARCH (MF2‐GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one‐component GARCH models are predictable by a moving average of past standardized forecast errors.
Christian Conrad, Robert F. Engle
wiley +1 more source