International Journal of Finance &Economics, EarlyView.ABSTRACT This research aims to explore and understand the dynamic nature of volatility connectedness between BRICS stock markets and various asset price implied volatility indices through a TVP‐VAR broadened connectedness approach. Results display nontrivial dynamic connectedness in the BRICS stock markets and uncertainties in different markets during ...
Halilibrahim Gökgöz +3 more
wiley +1 more source
Recurrent Neural Network GO-GARCH Model for Portfolio Selection. [PDF]
J Time Ser EconomBurda M, Schroeder AK.
europepmc +1 more source
Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate Garch(P,Q) Process [PDF]
, 2005 Peter Zadrozny
openalex +1 more source
ESG Meets DeFi: Exploring Time‐Varying Linkages and Portfolio Implications
International Journal of Finance &Economics, EarlyView.ABSTRACT This study delves into the connection between Environmental, Social and Governance (ESG) indices and emerging Decentralised Finance (DeFi) assets. Specifically, it explores the ever‐changing, frequency‐based linkage between these ESG indices and innovative DeFi assets.
Shoaib Ali +3 more
wiley +1 more source
Retraction Note: Obtaining green environmental revival through natural resources price variations: Estimations through GARCH technique. [PDF]
Environ Sci Pollut Res IntMa L.
europepmc +1 more source
How does Sample Size Affect GARCH Models? [PDF]
, 2006 HS Raymond NG, Kong‐Peng Lam
openalex +1 more source
Forecasting Digital Asset Return: An Application of Machine Learning Model
International Journal of Finance &Economics, EarlyView.ABSTRACT In this study, we aim to identify the machine learning model that can overcome the limitations of traditional statistical modelling techniques in forecasting Bitcoin prices. Also, we outline the necessary conditions that make the model suitable.
Vito Ciciretti +4 more
wiley +1 more source
Heteroscedasticity effects as component to future stock market predictions using RNN-based models. [PDF]
PLoS OneSadon AN, Ismail S, Khamis A, Tariq MU.
europepmc +1 more source
A Multivariate Generalized Orthogonal Factor GARCH Model [PDF]
, 2006 Markku Lanne, Pentti Saikkonen
openalex +1 more source
Sovereign Credit Ratings: A Friend or Foe to Financial Development of African Countries?
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examined the impact of sovereign credit rating on financial development. Using a sample of 21 African countries from 1995 to 2019, the empirical result indicates a significant and positive link between sovereign credit rating and financial development that is, higher credit ratings are associated with lower borrowing costs ...
Sodiq Arogundade +2 more
wiley +1 more source