Results 41 to 50 of about 40,912 (303)
Price discovery in the cryptocurrency option market: A univariate GARCH approach
Cogent Economics & Finance, 2020 In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX).
Pierre J. Venter +2 more
doaj +1 more source
BONDS AND SUKUK MARKETS UNDER COVID 19: AN EMPIRICAL STUDY OF EMERGING MARKETS
Buletin Ekonomi Moneter dan Perbankan, 2023 The influence of the COVID-19 pandemic on the bonds and sukuk market index is investigated to determine the dynamic behavior of fixed-income return volatility.
Nevi Danila
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EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET
Tạp chí Khoa học Đại học Đà Lạt, 2017 Using a regression model of the cross-sectional dispersion in stock returns, this study investigates investor herding behavior in Vietnamese stock market spanning the period from June 01, 2007 to November 30, 2015.
Đoàn Anh Tuấn, Hoàng Mai Phương
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Peramalan Harga Saham Syariah Pt. Unilever Indonesia Tbk Menggunakan Garch
Krigan, 2023 Tujuan dari penelitian ini untuk mengetahui perbandingan model peramalan dalam meramalkan harga saham PT. Unilever Indonesia Tbk. Pada penelitian ini terdapat 2 model peramalan yaitu peramalan ARIMA dan GARCH.
Didik Gunawan
doaj +1 more source
Journal of Business & Economic StatisticsWe introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it can accommodate cluster structures in the conditional correlation matrix and in tail dependencies.
Chen Tong +2 more
openaire +2 more sources
ANALYSIS OF INTEGRATION AND PRICE EFFICIENCY: A CASE OF INDONESIAN COCOA BEANS EXPORT MARKET
AGRISE, 2020 In international trade, two market are spatially integrated when the price of one commodity traded continuously and has same price movement after adjusting the exchange rate and transaction cost.
Imama Nurus Izaati +2 more
doaj +1 more source
Modeling of Returns Volatility using GARCH(1,1) Model under Tukey Transformations
Jurnal Akuntansi dan Keuangan, 2019 This study proposed two new classes of GARCH(1,1) model by applying the Tukeytransformations to the returns and to the lagged variance. The behavior of return volatility was investigated on the basis of models with normal and Student-t distributions for ...
Didit Budi Nugroho +3 more
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The Influence of Oil Price on Renewable Energy Stock Prices: An Analysis for Entrepreneurs
Studia Universitatis Vasile Goldis Arad, Seria Stiinte Economice, 2020 This study investigates the relationship between oil price fluctuations and renewable energy stock returns using daily data on Brent crude oil prices and global renewable energy stock market indices between 29 November 2010 and 18 February 2020.
Vrînceanu Georgiana +3 more
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Prominent Movement Disorders in RNU2‐2‐Related Spliceosomopathy
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Pediatric movement disorders often overlap with neurodevelopmental diseases, suggesting shared molecular mechanisms. Variants in small nuclear RNA (snRNA) genes encoding spliceosome components have recently been associated with neurodevelopmental disorders, termed “RNUopathies.” We analyzed genome sequencing data from 14 patients with ...
Magdalena Krygier +6 more
wiley +1 more source
ESG Volatility Prediction Using GARCH and LSTM Models
Financial Internet Quarterly, 2023 This study aims to predict the ESG (environmental, social, and governance) return volatility based on ESG index data from 26 October 2017 and 31 March 2023 in the case of India.
Mishra Akshay Kumar +2 more
doaj +1 more source