Results 31 to 40 of about 4,724 (162)

Informational Efficiency in Cryptocurrency Markets: A Bibliometric and Thematic Literature Review (2015–2024)

Journal of Economic Surveys, Volume 40, Issue 1, Page 443-468, February 2026.
ABSTRACT Cryptocurrency markets are known for their wide price fluctuations, lack of central control, and fast‐paced development. These characteristics present serious challenges to traditional theories about how markets work and how prices reflect available information.
Giulia Fantini, Joy Jia, Chiara Oldani
wiley   +1 more source

Shock‐Triggered Asymmetric Response Stochastic Volatility

Journal of Forecasting, Volume 45, Issue 1, Page 217-240, January 2026.
ABSTRACT We propose a novel asymmetric stochastic volatility model (STAR‐SV) in which the leverage parameter adjusts to the magnitude of past shocks. This flexible specification captures both the leverage effects and their propagation more effectively than standard asymmetric volatility models.
J. Miguel Marin, Helena Veiga
wiley   +1 more source

Unveiling Complex Seasonality in Stock Price Forecasting Using a Seasonal‐Adjusted Hybrid Machine Learning Approach

Applied Computational Intelligence and Soft Computing, Volume 2026, Issue 1, 2026.
In emerging financial markets, stock price forecasting is challenged by nonstationarity, irregular trading calendars, and evolving structural dynamics that limit the effectiveness of conventional linear models. This study develops and evaluates a seasonal‐adjusted hybrid machine learning framework to forecast the daily closing stock prices of Square ...
K. M. Zahidul Islam, Amrin Binte Ahmed, Adisha Dulmini, Dulsaba Azmain, Md. Mahin Uddin Qureshi, Meherun Ahmed, Mst. Nilufar Yasmin, Muhammad Khairul Alam, Rumana Rois, Zhaocai Wang   +9 more
wiley   +1 more source

Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach [PDF]

, 2004
This paper investigates conditional variance patterns in daily return series of stock market indices in the G-7 and 6 selected economies of Central and Eastern Europe. For this purpose, various linear and asymmetric GARCH models are employed.
Koubaa, Yosra, Égert, Balázs
core   +1 more source

Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage

Journal of Time Series Analysis, Volume 46, Issue 6, Page 1064-1084, November 2025.
ABSTRACT Statistical inference—estimation and testing—for stochastic volatility models is challenging and computationally expensive. This problem is compounded when leverage effects are allowed. We propose efficient, simple estimators for higher‐order stochastic volatility models with leverage [SVL(p)$$ (p) $$], based on a small number of moment ...
Md. Nazmul Ahsan, Jean‐Marie Dufour, Gabriel Rodriguez‐Rondon   +2 more
wiley   +1 more source

Value at Risk models with long memory features and their economic performance [PDF]

, 2015
We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also
A Rubia, D Duffie, Evangelia Mitrodima, F Corsi, H Doshi, I A Venetis, J A Lopez, J Berkowitz, J Berkowitz, J Danielsson, J Jeon, J Schaumburg, J W Taylor, Jaideep S. Oberoi, K Kuester, L R Glosten, M Levy, M Mcaleer, M R Nieto, M Sarma, P Christoffersen, P Christoffersen, P Christoffersen, P Christoffersen, R F Engle, R F Engle, R F Engle, R F Engle, R J Shiller, R Koenker, S Basak, S Bianco, S G Hanson, T Adrian, T Adrian, T Bollerslev, V Chernozhukov, Z Ding   +37 more
core   +1 more source

Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets

Journal of Futures Markets, Volume 45, Issue 9, Page 1253-1277, September 2025.
ABSTRACT This paper investigates the mean, volatility, skewness, and kurtosis of price spillovers from the natural gas, coal, and CO2 emissions markets into the German electricity market from 2010 to July 2023, segmented into three periods: pre‐Russo‐Ukrainian war, war‐triggered price rise, and postwar adjustment. Utilizing a flexible probability model
Filippos Ioannidis, Kyriaki Kosmidou, Panayiotis Theodossiou   +2 more
wiley   +1 more source

Application of Copula Models in Stock Market Analysis

Informatika
Objectives. The objective of the study is to use copula models to analyze shares of the Russian stock market and describe changes in the relationship between the shares before and during the coronavirus infection (COVID-19).Methods.
A. M. Kendys, M. M. Troush
doaj   +1 more source

Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers

Journal of Forecasting, Volume 44, Issue 4, Page 1266-1279, July 2025.
ABSTRACT This paper introduces an extended multivariate EGARCH model that overcomes the zero‐return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear asymptotic properties of the QML estimator, our Monte ...
Yongdeng Xu
wiley   +1 more source

A note on the determinants of non‐fungible tokens returns

International Journal of Finance &Economics, Volume 30, Issue 3, Page 3201-3211, July 2025.
Abstract We aim to identify the determinants of non‐fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty‐three potential drivers of the returns of each NFT are considered.
Theodore Panagiotidis, Georgios Papapanagiotou   +1 more
wiley   +1 more source