Results 131 to 140 of about 16,252 (305)
Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors [PDF]
Nonlinear time series models, especially those with regime-switching and conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature.
Michael McAleer +2 more
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho +3 more
wiley +1 more source
Efficient Estimation in Semiparametric GARCH Models
It is well-known that financial data sets exhibit conditional heteroskedasticity.GARCH type models are often used to model this phenomenon. Since the distribution of the rescaled innovations is generally far from a normal distribution, a semiparametric ...
Klaassen, C.A.J., Drost, F.C.
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper investigates the intricate relationship between climate policy uncertainty (CPU) and energy market dynamics, focusing on fossil‐based and renewable/low‐carbon energy assets. Utilising a comprehensive dataset spanning from April 1987 to December 2023, comprising monthly observations of CPU, stock market returns, spot oil prices and ...
Dimitrios Asteriou, Anastasia Dimiski
wiley +1 more source
International Journal of Financial StudiesIn frontier markets, financial volatility exhibits long-memory properties and regime-dependent asymmetries that standard linear models do not capture. This leads to inaccuracies in forecasting risk when a single model is applied across regimes.
Abraham Kisembe Wawire +3 more
doaj +1 more source
Volatility Models : from GARCH to Multi-Horizon Cascades [PDF]
We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of
Alexander Subbotin +2 more
core
Alternative Data for Realised Volatility Forecasting: Limit Order Book and News Stories
International Journal of Finance &Economics, EarlyView.ABSTRACT We examine whether two major alternative data sources, limit order book information and firm‐specific news, provide incremental predictive information for daily realised volatility forecasting within the HAR‐family, using a parsimonious framework to ensure practical implementation and comparability. The framework is designed for practical real‐
Eghbal Rahimikia, Ser‐Huang Poon
wiley +1 more source
Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +1 more source
We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of a class of multivariate GARCH processes. The conditions are mild and coincide with the minimal ones in the univariate case.
Francq, Christian, Zakoian, Jean-Michel
core