Results 221 to 230 of about 139,345 (340)

When Are Statistical Forecast Gains Economically Relevant? Evidence From Bitcoin Returns

Journal of Forecasting, EarlyView.
ABSTRACT We study how statistical forecast gains for Bitcoin translate into trading profits. Using real‐time out‐of‐sample forecasts from daily bivariate VARs from October 2021 to February 2024, we show that Bitcoin returns are forecastable and that seven predictive indices yield significant gains in directional accuracy (DA).
Rehan Arain, Stephen Snudden
wiley   +1 more source

Impact of domestic and foreign investors on ESG disclosure quality in Chinese listed firms: Divergence or convergence? [PDF]

PLoS One
Yin W, Su Y, Kirkulak-Uludag B, Yan A, Wang R.   +4 more
europepmc   +1 more source

A Fuzzy Framework for Realized Volatility Prediction: Empirical Evidence From Equity Markets

Journal of Forecasting, EarlyView.
ABSTRACT This study introduces a realized volatility fuzzy time series (RV‐FTS) model that applies a fuzzy c‐means clustering algorithm to estimate time‐varying c$$ c $$ latent volatility states and their corresponding membership degrees. These memberships are used to construct a fuzzified volatility estimate as a weighted average of cluster centroids.
Shafqat Iqbal, Štefan Lyócsa
wiley   +1 more source

Beyond borders: Decoding the influence of economic development, money confidence, financial market, and purchasing power on currency internationalization. [PDF]

PLoS One
Cao Z, Soh W, Razak NHA, Noordin BAA.
europepmc   +1 more source

Threshold Analysis of the Stock Market Capitalization and Monetary Policy in South Africa: The Role of Investment in Artificial Intelligence

Opeyemi Aromolaran, Nicholas Ngepah
openalex   +2 more sources

The Effect of Net Income, Equity, Cash Dividend, Average Price and Volume to Corporate Market Capitalization Stocks in LQ45 Index of Indonesia Stock Exchange Period 2008 – 2018

, 2020
Komang Indrayana, Djabir Hamzah, Andi Aswan   +2 more
openalex   +1 more source

A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios

Journal of Forecasting, EarlyView.
ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley   +1 more source

A multi-criteria approach to ESG-based portfolio optimization incorporating historical performance, forward-looking insights, and credibilistic CVaR: a case study on the DJIA. [PDF]

Sci Rep
Taheripour E, Sadjadi SJ, Amiri B.
europepmc   +1 more source

When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market

Journal of Futures Markets, EarlyView.
ABSTRACT This paper examines how the relationship between Bitcoin spot and futures markets has evolved using a time‐varying Fractionally Cointegrated Vector Autoregressive (FCVAR) model. We are the first to apply this methodology dynamically to cryptocurrency markets, allowing us to simultaneously analyze long‐run equilibrium, pricing patterns, market ...
Filippo di Pietro, Antonio A. Golpe, Jose Carlos Vides   +2 more
wiley   +1 more source

"Good and bad investments" in public health stocks amid the COVID-19 shock: evidence from a transformer-based model. [PDF]

Front Public Health
Zhao D, Li Y, Gu R.
europepmc   +1 more source