Results 31 to 40 of about 40,912 (303)
PLoS ONE, 2021 This paper provides a thorough overview and further clarification surrounding the volatility behavior of the major six cryptocurrencies (Bitcoin, Ripple, Litecoin, Monero, Dash and Dogecoin) with respect to world currencies (Euro, British Pound, Canadian
Viviane Y. Naimy +3 more
semanticscholar +1 more source
Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?
Risks, 2019 The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally ...
Xiaoyi Shen +2 more
doaj +1 more source
ESTIMATING WEAK GARCH REPRESENTATIONS [PDF]
Econometric Theory, 2000 The classical definitions of GARCH-type processes rely on strong assumptions on the first two conditional moments. The common practice in empirical studies, however, has been to test for GARCH by detecting serial correlations in the squared regression errors.
Christian Francq, Jean-Michel Zakoïan
openaire +4 more sources
Regime changes in Bitcoin GARCH volatility dynamics
Finance Research Letters, 2019 We test the presence of regime changes in the GARCH volatility dynamics of Bitcoin log–returns using Markov–switching GARCH (MSGARCH) models. We also compare MSGARCH to traditional single–regime GARCH specifications in predicting one–day ahead Value–at ...
David Ardia +2 more
semanticscholar +1 more source
Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
doaj +1 more source
Evolution of bitcoin as a Financial Asset
Финансы: теория и практика, 2021 The cryptocurrency market debate resumed in 2020 with renewed vigour as the price of Bitcoin surpassed late 2017 highs. This study aims to analyse possible factors of Bitcoin’s pricing at various cryptocurrency market development stages — before the 2017
K. D. Shilov, A. V. Zubarev
doaj +1 more source
Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility
Mathematics, 2021 This study examines the volatility of nine leading cryptocurrencies by market capitalization—Bitcoin, XRP, Ethereum, Bitcoin Cash, Stellar, Litecoin, TRON, Cardano, and IOTA-by using a Bayesian Stochastic Volatility (SV) model and several GARCH models ...
Jong‐Min Kim, Chulhee Jun, Junyoup Lee
semanticscholar +1 more source
New Medit, 2019 Barley is one of the main crops after wheat and rice. The importance of this product increases because it is an essential input in the livestock and poultry industries.
Behzad Fakari Sardahaie +2 more
doaj +1 more source
Estimación de modelos de volatilidad en series de rendimientos bursátiles: 2000-2014
Pensamiento Crítico, 2015 Las series temporales de alta frecuencia observadas en los mercados financieros y cambiarios se caracterizan por ser asimétricas, leptocúrticas, agrupamiento de la volatilidad, mostrar una elevada persistencia en volatilidad, correlaciones en los ...
Rafael Bustamante Romaní
doaj +1 more source
Análisis de la volatilidad accionaria en Latinoamérica
Fórum Empresarial, 2005 En la medida que las economías se van abriendo al mundo se vuelven más vulnerables a las crisis económicas de otros países. A este fenómeno se le denomina contagio.
Carlos Díaz Contreras +1 more
doaj +1 more source