Results 201 to 210 of about 18,304 (313)

The dependency structure of international commodity and stock markets after the Russia-Ukraine war. [PDF]

PLoS One
Zhang C, Liu S, Qin M, Gao B.
europepmc   +1 more source

Whittle estimation in a heavy-tailed GARCH(1,1) model

, 2002
Thomas Mikosch, Daniel Straumann
openalex   +1 more source

Deep Learning and Machine Learning Insights Into the Global Economic Drivers of the Bitcoin Price

Journal of Forecasting, EarlyView.
ABSTRACT This study examines the connection between Bitcoin and global factors, including the VIX, the oil price, the US dollar index, the gold price, and interest rates estimated using the Federal funds rate and treasury securities rate, for forecasting analysis.
Nezir Köse, Yunus Emre Gür, Emre Ünal   +2 more
wiley   +1 more source

AI companies' strategies with traditional vs. digital assets amid geopolitical and banking crises. [PDF]

Heliyon
Dammak W, Fakhfekh M, Alnafisah H, Jeribi A.   +3 more
europepmc   +1 more source

Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model

Journal of Forecasting, EarlyView.
ABSTRACT This study proposes the use of a heterogeneous autoregressive model with time‐varying parameters (TVP‐HAR) to model and forecast the Chicago Board Options Exchange (CBOE) volatility index (VIX). To demonstrate the superiority of the TVP‐HAR model, we consider six variations of the model with different bandwidths and smoothing variables and ...
Wen Xu, Pakorn Aschakulporn, Jin E. Zhang   +2 more
wiley   +1 more source

Predicting the volatility of Chinese stock indices based on realized recurrent conditional heteroskedasticity. [PDF]

PLoS One
Zhang G, Zhao H, Fan R.
europepmc   +1 more source

Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions

Journal of Forecasting, EarlyView.
Abstract Reverse Unrestricted MIxed DAta Sampling (RU‐MIDAS) regressions are used to model high‐frequency responses by means of low‐frequency variables. However, due to the periodic structure of RU‐MIDAS regressions, the dimensionality grows quickly if the frequency mismatch between the high‐ and low‐frequency variables is large.
Alain Hecq, Marie Ternes, Ines Wilms
wiley   +1 more source

Transmission of the 2007–2008 financial crisis in advanced countries of the European Union

Bulletin of Economic Research, Volume 75, Issue 1, Page 40-64, January 2023., 2023
Abstract The aim of this paper is to identify the main factors responsible for the 2007–2008 crisis development and transmission across the 10 developed European Union (EU) countries. In order to achieve this objective, trade and financial linkages, crisis contagion from the United States and EU countries and countries' internal and external economic ...
Kamila Tomczak
wiley   +1 more source

Assessing the risk spillover effects between the Chinese carbon market and the US-China energy market. [PDF]

Heliyon
Yan J, Işık C.
europepmc   +1 more source

Assessment of Local Influence in GARCH Processes [PDF]

, 2004
Xibin Zhang
openalex   +1 more source