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Financial Uncertainty from a Dual Shock at Global Level–Insights from Kuwait
International Journal of Financial Studies, 2022 Global stock markets experienced a dual shock in 2020 due to the impact of the global health crisis, parallel to a simultaneous shock derived from the Saudi Arabia and Russia oil price war. The dual shock fueled oil market volatility with lasting effects
Talal A. N. M. S. Alotaibi +1 more
doaj +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
Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets? [PDF]
, 1994 Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia.
Bentes, Sonia R. +2 more
core +5 more sources
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
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A Hybrid LSTM Neural Network Approach for Modeling Periodical Long-Memory Characteristics in Financial Energy Index Time Series [PDF]
Mathematics and Modeling in FinanceForecasting 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 +2 more
doaj +1 more source
Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility [PDF]
Journal of Asian Business and Economic Studies, 2020 Purpose – Growth enterprise market (GEM) in Hong Kong is acknowledged as one of the world’s most successful examples of small and medium enterprise (SME) stock market.
Trang Nguyen +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