Results 31 to 40 of about 13,849,659 (169)
Journal of Forecasting, EarlyView.ABSTRACT This paper develops Masked Asset–Regime Scenario Diffusion (MARS‐Diff), a leakage‐disciplined framework for probabilistic forecasting of multiday portfolio losses. The framework combines a regularized heterogeneous autoregressive model with exogenous predictors (HAR‐X) as its anchor, a train‐only masked representation of a high‐dimensional ...
Çağlar Sözen, Mervenur Sözen
wiley +1 more source
PERBANDINGAN MODEL EXPONENTIAL GARCH, GJR-GARCH DAN QUADRATIC GARCH PADA INDEKS HARGA SAHAM GABUNGAN (IHSG) [PDF]
, 2023 Indeks Harga Saham Gabungan (IHSG) merupakan indeks pada Bursa Efek Indonesia yang melacak kinerja semua saham yang terdaftar di sana. IHSG biasanya digunakan untuk melihat gambaran kenaikan dan penurunan pasar investasi secara keseluruhan pada Bursa ...
HERDA DWIYANTI, .
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Hybrid Model for Stock Market Volatility
Journal of Probability and Statistics, 2023 Empirical evidence suggests that the traditional GARCH-type models are unable to accurately estimate the volatility of financial markets. To improve on the accuracy of the traditional GARCH-type models, a hybrid model (BSGARCH (1, 1)) that combines the ...
Kofi Agyarko +2 more
doaj +1 more source
Brexit and Its Impact on EU Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin +3 more
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
Australian Economic Papers, Volume 65, Issue 3, Page 222-260, September 2026.ABSTRACT This study examines volatility interconnectedness among selected agricultural commodities and precious/industrial metals, together with oil price uncertainty and global supply chain pressure, over the period January 1998 to June 2024 using a Quantile‐on‐Quantile connectedness framework.
Muhammed Benli, Halil Altıntaş
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International Review of Finance, Volume 26, Issue 3, September 2026.ABSTRACT The first half of the 2020's has seen a degree of economic and geo‐political uncertainty not observed since the 1970s. This paper looks at how listed real estate is exposed to capital market shocks by estimating Conditional Value‐at‐Risk (CoVaR), which captures the sensitivity of real estate returns to extreme movements in broader equity ...
Stanimira Milcheva +2 more
wiley +1 more source
Forecasting volatilities in the energy sector: a comparison of GAS, GARCH and GJR models
, 2023 openQuesta relazione confronta la capacità dei modelli GAS, GARCH e GJR di prevedere la volatilità dei rendimenti di due beni appartenenti al settore energetico, cioè il petrolio greggio e il gas naturale.
PIATTELLA, LUNA
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Analisis Perkiraan Beban Puncak Energy Listrik Menggunakan Model GJR-GARCH [PDF]
, 2017 Berdasarkan hasil penelitian maka diperoleh beberapa model yang digunakan dalam proses peramalan ini yaitu model ARIMA(1,1,1) dan model GJR-GARCH (1,1).
Nurzarina, Nurzarina
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Application of Copula Models in Stock Market Analysis
InformatikaObjectives. 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