Results 131 to 140 of about 42,233 (256)
Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
wiley +1 more source
Overestimation in the Traditional GARCH Model During Jump Periods [PDF]
The traditional continuous and smooth models, like the GARCH model, may fail to capture extreme returns volatility. Therefore, this study applies the bivariate poisson (CBP)-GARCH model to study jump dynamics in price volatility of crude oil and heating ...
Wan-Hsiu Cheng
core
Macroeconomic Fluctuation in Emerging Market Economies
Asian-Pacific Economic Literature, EarlyView.ABSTRACT In this study, we incorporate recent major external shocks to analyse fluctuations in emerging market economies. We use a Global Vector Autoregression (GVAR) model from January 1999 to October 2022, incorporating major industrialized and emerging economies.
Luccas Assis Attílio
wiley +1 more source
Clinical Genetics, EarlyView.Heterozygous de novo nonsense variants in the penultimate and last exons of NUSAP1 were identified in two unrelated individuals, predicted to escape NMD. In population data, nonsense variants were observed in exons 1–9 (of 11) in NUSAP1 but were absent from its 3′‐terminal region.
Maureen Jacob +15 more
wiley +1 more source
Asymptotically efficient estimation of the change point for semiparametric GARCH models [PDF]
GARCH process, change point, maximum likelihood estimator, Bayesian estimator, asymptotic ...
Shiohama, Takayuki
core
Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape
European Financial Management, EarlyView.ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai +2 more
wiley +1 more source
Selection of the Informative Base in ARMA-GARCH Models [PDF]
In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Muñoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically
Laura Muñoz +2 more
core
Constrictions and shear stress are key determinants of amyloidogenic light chain (AL) amyloidosis
The FEBS Journal, EarlyView.In this study, we investigate how flow constrictions and shear stress trigger cardiac antibody light chain (AL) fibril formation and deposition. We mimic the mechanical forces exerted by the heart and the microvasculature network using a mini‐peristaltic pump setup and a grid‐type microchannel network, respectively.
Yuji Goto +11 more
wiley +1 more source
The impacts of outliers on different estimators for GARCH processes: an empirical study [PDF]
The Maximum likelihood estimation (MLE) is the most widely used method to estimate the parameters of a GARCH(p,q) process. This is owed to the fact that the MLE, among other properties, is asymptotically efficient.
Ardelean, Vlad
core
Volatility ≠ Risk: When Timing Alpha in Crypto Markets Reflects Mispricing
Financial Review, EarlyView.ABSTRACT Volatility timing in cryptocurrency markets generates significant alpha, but only during periods of loose monetary policy and high uncertainty. Analyzing S&P crypto indices (2017–2023) dominated by large‐cap assets, we show realized volatility can reflect noise‐driven speculative flows, not risk compensation. This effect is strongest for small‐
Arben Kita, Yue Zhang
wiley +1 more source