Results 21 to 30 of about 13,792,513 (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
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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
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
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
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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
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Argomenti: Rivista di Economia, Cultura e Ricerca Sociale, 2020 We explore the time-varying conditional correlations of the Sovereing CDS spread returns for Germany, France, China and Japan against USA. We employ a cDCC-AR-FIGARCH model in order to capture potential contagion effects between the markets during the ...
Konstantinos Tsiaras, Theodore Simos
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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
openaire +1 more source