Results 171 to 180 of about 16,252 (305)
Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models
Lahore Journal of EconomicsIn this paper we compare the performance of different GARCH models such as GARCH, EGARCH, GJR and APARCH models, to characterize and forecast financial time series volatility in Pakistan.
G.R. Pasha, Tahira Qasim, Muhammad Aslam
doaj
On the hedge and safe-haven abilities of bitcoin and gold against blue economy and green finance assets during global crises: Evidence from the DCC, ADCC and GO-GARCH models. [PDF]
PLoS OneManzli YS +4 more
europepmc +1 more source
On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors, [PDF]
This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfying a generalised autoregressive conditional heteroscedastic process.
Michael McAleer, Shiqing Ling
core
Artificial Intelligence in Climate and Sustainable Finance: A Blessing or a Curse?
Journal of Economic Surveys, EarlyView.ABSTRACT While there are concerns regarding the sustainability of artificial intelligence (AI), it is a potential ally in the transition toward a greener future. It offers advanced tools for data analysis; risk modeling; and environmental, social, and governance (ESG) assessment.
Filippo di Pietro +3 more
wiley +1 more source
Outliers in Garch models and the estimation of risk measures [PDF]
In this paper we focus on the impact of additive level outliers on the calculation of risk measures, such as minimum capital risk requirements, and compare four alternatives of reducing these measures' estimation biases. The first three proposals proceed
Aurea Grané, Helena Veiga
core
A Comprehensive Revisit to the Safe‐Haven Assets Literature
Journal of Economic Surveys, EarlyView.ABSTRACT A large number of studies examine the safe‐haven characteristics of different asset classes. However, this paper addresses a lack of systematic literature reviews and bibliometric analyses with a sound theoretical viewpoint the safe‐haven assets literature by focusing on 1305 studies published in top‐tier journals during 2013–2026 from the ...
Javed Bin Kamal +3 more
wiley +1 more source
The Journal of Finance, EarlyView.ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large
SVETLANA BRYZGALOVA +2 more
wiley +1 more source
Journal of Product Innovation Management, EarlyView.ABSTRACT Despite their transformative potential, Industrial Internet of Things (IIoT) platforms often fail to evolve into scalable ecosystems. Research on IIoT platforms attributes failure to discrete factors such as governance misalignment or technological complexity and rarely considers how failure unfolds.
Philipp Kernstock +3 more
wiley +1 more source
Long memory with Markov-Switching GARCH [PDF]
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation
Krämer, Walter
core
Journal of Sleep Research, Volume 34, Issue 2, April 2025.Summary The interplay of daily life factors, including mood, physical activity, or light exposure, influences sleep architecture and quality. Laboratory‐based studies often isolate these determinants to establish causality, thereby sacrificing ecological validity.
Anna M. Biller +8 more
wiley +1 more source