Results 131 to 140 of about 40,912 (303)

Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function

International Statistical Review, EarlyView.
Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler, Denis Belomestny, Simos George Meintanis, Emanuele Taufer   +3 more
wiley   +1 more source

Collaborative Genomics for Dystonia in Central and Eastern Europe: Successes Achieved, New Frontiers Ahead

Movement Disorders, EarlyView.
Robert Jech, Petra Havránková, Eugenia Tsoma, Lukáš Kunc, Tomáš Krajča, Ján Necpál, Olga Ulmanová, Aleksandra Tomic, Ivana Dzinovic, Irena Rektorová, Marek Baláž, Tereza Serranová, Stanislava Jaselska, Maria Giertlova, Kristina Kulcsarova, Alexandra Lackova, Denisa Harvanova, Miriam Ostrozovicova, Vladimir Han, GenDy Collaborators, Matej Škorvánek, Michael Zech   +21 more
wiley   +1 more source

The expected inflation risk premium in the U.S. stock market

Journal of Financial Research, EarlyView.
Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau, Gabriel J. Power, Garrett C. C. Smith   +2 more
wiley   +1 more source

Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia

Journal of Money, Credit and Banking, EarlyView.
Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley   +1 more source

Modeling Saudi stock index returns and volatility: a dual approach using GARCH and neural networks. [PDF]

Front Artif Intell
Al-Besher S, Al-Najjar D.
europepmc   +1 more source

Artificial Intelligence in Climate and Sustainable Finance: A Blessing or a Curse?

Journal of Economic Surveys, EarlyView.
ABSTRACT While there are concerns regarding the sustainability of artificial intelligence (AI), it is a potential ally in the transition toward a greener future. It offers advanced tools for data analysis; risk modeling; and environmental, social, and governance (ESG) assessment.
Filippo di Pietro, Pilar Giráldez‐Puig, Pedro R. Palos‐Sánchez, Zbigniew Korzeb   +3 more
wiley   +1 more source

A Comprehensive Revisit to the Safe‐Haven Assets Literature

Journal of Economic Surveys, EarlyView.
ABSTRACT A large number of studies examine the safe‐haven characteristics of different asset classes. However, this paper addresses a lack of systematic literature reviews and bibliometric analyses with a sound theoretical viewpoint the safe‐haven assets literature by focusing on 1305 studies published in top‐tier journals during 2013–2026 from the ...
Javed Bin Kamal, Sheena Sara Suresh Philip, Md. Lutfur Rahman, Asif ur Rashid Allis   +3 more
wiley   +1 more source

Empirical Analysis of Pass through ofEMPIRICAL ANALYSIS OF PASS THROUGH OF EXCHANGE RATE AND ITS VOLATILITY TO INFLATION IN SELECTED EMERGING ECONOMIES

Pakistan Journal of Applied Economics
This study explores the pass-through of unanticipated movements in growth and variance of exchange rate to inflation. First, it quantifies the volatility of the exchange rate by using the GARCH-X model.
Mehak Ejaz, Qadeer Khalid
doaj  

Strategic Risk Based Forecasting of Brent Crude Oil Prices: A Comparative Analysis of Econometric and Machine Learning Models. [PDF]

Entropy (Basel)
Yılmaz TE, Zehir C.
europepmc   +1 more source