Results 171 to 180 of about 1,765,864 (313)

A New Implementation of Network GARCH Model for Stock Volatility and Co‐Volatility Forecasting

Journal of Forecasting, EarlyView.
ABSTRACT Volatility clustering and spillovers are key features of financial time series with many cross‐sectional assets. While network analysis links similar or correlated stocks and helps trace volatility spillovers, contemporary multivariate ARCH‐GARCH formulations struggle to represent structured network dependence and remain parsimonious.
Peiyi Zhou
wiley   +1 more source

Electricity price in Italy: a Bayesian calibration using Markov Chain Monte Carlo methods

reservedQuesta tesi studia la modellizzazione e la calibrazione dei prezzi spot dell'energia elettrica nel mercato italiano. Seguendo il lavoro di Laudagé et al. (2024) e Gonzalez et al.
TARGON, ALBERTO
core  

Paving New Ground [PDF]

This paper explores the inter-connectedness and co-evolution of transportation networks and land use through the application of a Markov Chain model to the Twin Cities from 1958 through 1990.
Wei Chen, David Levinson
core  

Forecasting Duration in High‐Frequency Financial Data Using a Self‐Exciting Flexible Residual Point Process

Journal of Forecasting, EarlyView.
ABSTRACT This paper presents a method for forecasting limit order book durations using a self‐exciting flexible residual point process. High‐frequency events in modern exchanges exhibit heavy‐tailed interarrival times, posing a significant challenge for accurate prediction.
Kyungsub Lee
wiley   +1 more source

On A Markov Game with Incomplete Information [PDF]

We consider an example of a Markov game with lack of information on one side, that was first introduced by Renault (2002). We compute both the value and optimal strategies for a range of parameter values.
Dinah Rosenberg, Johannes Horner, Eilon Solan, Nicolas Vieille   +3 more
core  

Risk Transmission and Co‐Movements Between Financial Markets and Commodity Markets in the COVID‐19 Period

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho, H. Oliveira, M. Neves, J. Monteiro   +3 more
wiley   +1 more source

The Spectral Rrepresentation of a Discrete Version of Blackwell's Markov Chain. [PDF]

Entropy (Basel)
Nieznaj E.
europepmc   +1 more source

Technological Evolution in Fintech: A Decadal Scientometric and Systematic Review of Developments and Criticisms

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study aims to classify pivotal fintech innovations and explore the prospects and pitfalls associated with emerging fintech services extensively discussed in the literature. We conducted a multistage systematic review of research published on fintech over the past decade from a technological perspective. Using the Preferred Reporting Items
Muhammad Imran Qureshi, Nohman Khan
wiley   +1 more source

Whale optimization algorithm based on Markov chain is used for overlapping community discovery. [PDF]

Sci Rep
Li J, Zhou Y, Guan D, Zhang Z.
europepmc   +1 more source

Semimartingales of Markov Chains

The Annals of Mathematical Statistics, 1958
Kemeny, John G., Snell, J. Laurie
openaire   +3 more sources