Modeling and forecasting the volatility of some industry development indicators in Ethiopia using multivariate GARCH models. [PDF]
Sci RepDagnew GA, Alamneh BW, Hailu WG.
europepmc +1 more source
Information Flows, Stock Market Volatility and the Systemic Risk in Global Finance
International Journal of Finance &Economics, EarlyView.ABSTRACT Information flows are a theoretical explanation for stock market volatility, but controversy remains regarding how to measure them. Based on cross‐sectional and temporal properties of information flows, we decompose total trading volume into four types: cross‐country shocks and country‐specific shocks due to arrivals of private information ...
Yen‐Hsiao Chen +3 more
wiley +1 more source
Hybrid Fourier asymmetric-garch estimation of value at risk and expected shortfall: Empirical evidence from crude oil prices. [PDF]
HeliyonDoabil L, Nasiru S, Iddrisu MM.
europepmc +1 more source
Exchange Rate Risk and Deviations From Purchasing Power Parity
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper proposes a new solution to the purchasing power parity (PPP) puzzles, arguing that investors' higher‐order risk attitudes, combined with higher‐order uncertainty about nominal exchange rates, as reflected by skewness and kurtosis, drive a risk premium that leads to deviations from PPP.
Michael G. Arghyrou +2 more
wiley +1 more source
Genomic epidemiology of third-generation cephalosporin-resistant Escherichia coli from companion animals and human infections in Europe. [PDF]
One HealthBiguenet A +5 more
europepmc +1 more source
A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES [PDF]
, 2006 Mika Meitz
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International Studies of Economics, EarlyView.ABSTRACT This study examines the impact of climate policy uncertainty (CPU) on world energy stock returns. Evidence shows that a rise in CPU causes stocks to plummet in individual countries, regions, and the world energy stock markets. The negative effects are also exhibited in climate induced risks, the covariance between a change in CPU and equity ...
Thomas C. Chiang
wiley +1 more source
Selected Topics in Time Series Forecasting: Statistical Models vs. Machine Learning. [PDF]
Entropy (Basel)Tjøstheim D.
europepmc +1 more source
Investigating the Intertemporal Risk-Return Relation in International Stock Markets with the Component GARCH Model, [PDF]
, 2006 Christopher J. Neely, Hui Guo
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