Asymmetric and time-frequency co-movements among innovation-themed investments and carbon emission efficiency: Thematic investing and hedging opportunities. [PDF]
PLoS OneHuo C, Ferreira P, Ul Haq I.
europepmc +1 more source
The dynamic causality in sporadic bursts between CO2 emission allowance prices and clean energy index. [PDF]
Environ Sci Pollut Res Int, 2022 Lu X, Liu K, Liang XS, Lai KK, Cui H.
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Estimation of tail thickness parameters from GJR-GARCH models [PDF]
We propose a method of estimating the Pareto tail thickness parameter of the unconditional distribution of a financial time series by exploiting the implications of a GJR-GARCH volatility model.
Emma M. Iglesias, Oliver Linton
core
Flexible Target Prediction for Quantitative Trading in the American Stock Market: A Hybrid Framework Integrating Ensemble Models, Fusion Models and Transfer Learning. [PDF]
Entropy (Basel)Yan K +6 more
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AI-Carbon-Energy: Spillover effects and drivers in interconnected markets. [PDF]
iScienceZhang M, Pan Y, Su B, Zhou D.
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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.
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To keep faith with homoskedasticity or to go back to heteroskedasticity? The case of FATANG stocks. [PDF]
Nonlinear Dyn, 2021 Curto JD.
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Investigating the impact of investor attention on AI-based stocks: A comprehensive analysis using quantile regression, GARCH, and ARIMA models. [PDF]
PLoS OneRavichandran S, Afjal M.
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Multistage allocation problem for Mexican pension funds. [PDF]
PLoS One, 2021 García-Medina A +3 more
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