Results 141 to 150 of about 21,854 (165)

Modeling the distribution of jet fuel price returns based on fat-tail stable Paretian distribution. [PDF]

PLoS One
Lin S, Zhang S, Wang C, He F, Xu Z, Zhang Y.   +5 more
europepmc   +1 more source

Heterogeneous macroeconomic factors' effects on stocks across sizes, styles, and sectors in the South Korean market. [PDF]

PLoS One
Cho C, Yang J, Jang B.
europepmc   +1 more source

Analysis of China's carbon market price fluctuation and international carbon credit financing mechanism using random forest model. [PDF]

PLoS One
Song C.
europepmc   +1 more source

Spatial Price Transmission and Dynamic Volatility Spillovers in the Global Grain Markets: A TVP-VAR-Connectedness Approach. [PDF]

Foods
Xue H, Du Y, Gao Y, Su WH.
europepmc   +1 more source

Analyzing risk contagion and volatility spillover across multi-market capital flow using EVT theory and C-vine Copula. [PDF]

Heliyon
Afzal F, Pan H, Afzal F, Gul RF.
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Bivariate extreme value analysis of extreme temperature and mortality in Canada, 2000-2020. [PDF]

BMC Public Health
Zhang Y, Wang K, Ren J, Liu Y, Ma F, Li T, Chen Y, Ling C.   +7 more
europepmc   +1 more source

Navigating Ghana's economic waters: Exploring the impact of Fiscal and Monetary policies on stock market performance. [PDF]

Heliyon
Cobbinah BB, Wen Y, Sarpong FA.
europepmc   +1 more source

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Affine multivariate GARCH models

Journal of Banking & Finance, 2020
Abstract This paper introduces a class of Affine multivariate GARCH models. Our setting offers flexibility to accommodate stylized facts of asset returns like dynamic conditional correlation and a covariance dependent pricing kernel. The model admits a closed-form recursive representation for the moment generating function under both historical and ...
Marcos Escobar-Anel, Javad Rastegari, Lars Stentoft   +2 more
openaire   +2 more sources