Results 91 to 100 of about 1,114 (191)
Cogent Economics & Finance, 2016 Our aim is to investigate the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (financial services, banking, and insurance) in eight countries, including various European, the US ...
Aloui Mouna, Jarboui Anis
doaj +1 more source
How Tether Depegging Affects Cryptocurrency Returns
Accounting &Finance, Volume 66, Issue 2, Page 1101-1129, June 2026.ABSTRACT This paper examines the relationship between Tether depegging events and the returns of ten major cryptocurrencies from November 2017 to November 2024. We distinguish between upward and downward deviations from the Tether peg, identifying these events as threshold exceedances based on historical prices, using both constant parameter and ...
Sean Foley +2 more
wiley +1 more source
How Regulation and Global Standing Shape Stock Market Co‐Movements: A G20 Panel Study
International Review of Finance, Volume 26, Issue 2, June 2026.ABSTRACT Motivated by post‐2020 fragmentation and underexplored institutional‐geopolitical drivers, we examine how regulatory quality (RQ) and global power (GP) shape stock‐market co‐movements across 17 G20 economies. We estimate time‐varying correlations via ADCC‐GARCH, construct a scaled correlation index, and apply panel ARDL. We find that higher RQ
Sama Haddad +4 more
wiley +1 more source
Entropy, 2015 In this paper, we propose a new entropy-optimized bivariate empirical mode decomposition (BEMD)-based model for estimating portfolio value at risk (PVaR). It reveals and analyzes different components of the price fluctuation.
Yingchao Zou, Lean Yu, Kaijian He
doaj +1 more source
Parametric Model Order Reduction by Box Clustering With Applications in Mechatronic Systems
International Journal for Numerical Methods in Engineering, Volume 127, Issue 10, 30 May 2026.ABSTRACT High temperatures and structural deformations can compromise the functionality and reliability of new components for mechatronic systems. Therefore, high‐fidelity simulations (HFS) are employed during the design process, as they enable a detailed analysis of the thermal and structural behavior of the system.
Juan Angelo Vargas‐Fajardo +4 more
wiley +1 more source
İMKB’NİN LATİN AMERİKA BORSALARIYLA İLİŞKİSİ ÜZERİNE ÇOK DEĞİŞKENLİ GARCH MODELLEMESİ
Journal of Business Administration and Social Studies, 2021 Having financial integration of the emerging markets increases their sensitivity against global economic events. In this sense, the paper aims to estimate the relation between stock exchange markets in Turkey, Argentina and Brazil as being some of the ...
Özlem YORULMAZ, Oya EKİCİ
doaj
, 2020 Bu çalışmada ,Risk hesaplamada kullanılan alternatif metodlar karşılaştırılmış ve IMKB 30 hisselerini içeren bir portföy belirli bir risk düzeyinde maximum getir sağlamasın için portföy oluşturan hisse senetlerinin hangi oranda dağıtılması gerektiğinin hesaplaması yapılmıştır.
openaire +1 more source
Outliers in multivariate Garch models [PDF]
, 2014 Outliers of moderate magnitude cause large changes in financial time series of prices and returns and affect both the estimation of parameters and volatilities when fitting a GARCH-type model. The multivariate setting is still to be studied, but similar biases and impacts on correlation dynamics are believed to exist.
Veiga, Helena +2 more
openaire +1 more source
REAdCom a crescente globalização, os mercados financeiros do mundo todo passaram a apresentar maior integração. Tal relacionamento entre mercados possui como implicação um termo que vem atraindo a atenção de profissionais e acadêmicos, a transmissão de ...
Marcelo Brutti Righi +1 more
doaj +1 more source
Semiparametric multivariate GARCH models [PDF]
, 2003 This paper studies voting over quadratic taxation when income is fixed and taxation non distortionary. The set of feasible taxes is compact and self-interested voters have corner preferences. We first show that, if a majority winning tax policy exists, it involves maximum progressivity.
HAFNER, Christian, ROMBOUTS, Jeroen
openaire +1 more source