South African inflation modelling using bootstrapped long short-term memory methods. [PDF]
SN Bus Econ, 2023 Kubheka S.
europepmc +1 more source
Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
europepmc +1 more source
Dependence modeling and portfolio optimization with copula-GARCH: a European investment perspective
Frontiers in Applied Mathematics and StatisticsThis study investigates advanced portfolio optimization techniques that integrate copula functions and GARCH models to enhance risk-adjusted performance in the European stock market.
Anastasija Vasiljeva +2 more
doaj +1 more source
Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall. [PDF]
Ann Oper Res, 2023 Candila V, Gallo GM, Petrella L.
europepmc +1 more source
Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan [PDF]
This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively.
Chia-Lin Chang +2 more
core +3 more sources
A Framework for Cryptocurrency Volatility Prediction Based on Cross-Correlation Analysis Using Deep Learning [PDF]
International Journal of Information and Communication Technology ResearchThe popularity of cryptocurrencies has intensified the need for accurate volatility prediction models. This research proposes a novel approach to enhance conditional variance predictions for cryptocurrencies.
Masoud Omidvari Abarghouie +3 more
doaj
Traffic Volatility Forecasting Using an Omnibus Family GARCH Modeling Framework. [PDF]
Entropy (Basel), 2022 Ou J, Huang X, Zhou Y, Zhou Z, Nie Q.
europepmc +1 more source
Dynamic correlation and hedging ability of precious metals in pre- and post-COVID periods
Cogent Economics & FinanceThis study examines the dynamic correlations and hedge ratios of precious metal stock returns of the Johannesburg stock exchange in pre- and post-COVID scenarios to determine if they can be used to hedge against adverse market movements.
Hamdan Bukenya Ntare +2 more
doaj +1 more source
Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB [PDF]
This paper examines the well know day of the week effect on stock returns. Various approaches have been developed and applied in order to examine calendar effects in stock returns and to formulate appropriate financial and risk portfolios.
Giovanis, Eleftherios
core +1 more source
Accurate Conditional Variance Models for Predicting Asymmetric Volatility in Cryptocurrency Markets
İzmir İktisat DergisiThis study includes tests on the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and its derivatives to conduct complex and detailed volatility analysis for the 5 highest-volume cryptocurrencies traded in September 2023. The tests
Onur Çelebi, Erhan Demireli
doaj +1 more source