Results 41 to 50 of about 1,114 (191)

Intraday Functional PCA Forecasting of Cryptocurrency Returns

Journal of Forecasting, EarlyView.
ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley   +1 more source

On asymptotic theory for multivariate GARCH models

Journal of Multivariate Analysis, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Christian M. Hafner, Arie Preminger
openaire   +2 more sources

Ranking Multivariate GARCH Models by Problem Dimension [PDF]

SSRN Electronic Journal, 2010
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002).
Massimiliano Caporin, Michael McAleer
openaire   +6 more sources

Estimation of multivariate asymmetric power GARCH models

Journal of Multivariate Analysis, 2022
It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns.We suggest a new class of multivariate power transformed asymmetric models. It includes several functional forms of multivariate GARCH models which are of great interest in financial modeling ...
Y. Boubacar Mainassara, O. Kadmiri, Bruno Saussereau   +2 more
openaire   +3 more sources

Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence From Markov‐Switching Multifractal Models

Journal of Forecasting, EarlyView.
ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu, Mawuli Segnon, Oguzhan Cepni, Rangan Gupta   +3 more
wiley   +1 more source

Estimation of Risk Hedge Ratio, Optimal Weight and Volatility Spillover Effects in the Stock Market of Iran, USA, Turkey, and UAE [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2019
Information about optimal risk hedge ratio, optimal weight of asset portfolios, the intensity and direction of impact of shock and volatility on financial markets is important for investment, policy, risk management and development of financial markets ...
Esmaiel Abounoori, Mansour Tour
doaj   +1 more source

Predicting EU Emissions Allowance Prices Using Macroeconomic Indicators and Hybrid AI Models

Journal of Forecasting, EarlyView.
ABSTRACT Predicting carbon allowance prices has grown more crucial in relation to carbon market regulation, financial strategy, and environmental policy development. This study examines a hybrid forecasting system that combines deep learning with ensemble machine learning models to forecast the price fluctuations of EU Emissions Allowance (EUAs) within
Saptarshi Ganguly, Pooja Sengupta, Divya Aggarwal   +2 more
wiley   +1 more source

Brexit and Its Impact on EU Financial Markets

International Journal of Finance &Economics, EarlyView.
ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin, Gulnur Muradoglu, Vasileios Pappas, Sheeja Sivaprasad   +3 more
wiley   +1 more source

Optimal Foreign Exchange Portfolio for Iran [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2010
Management of Foreign exchange reserves is important for every country. This matter is also of particular interest for Iran as an Oil exporting developing country. This paper designs an optimal portfolio for that part of foreign exchange incomes which is
Zahra Nasrollahi, Mina Shahviri,
doaj  

Realized volatility transmission within Islamic stock markets: A multivariate HAR-GARCH-type with nearest neighbor truncation estimator

Borsa Istanbul Review, 2020
Using the nearest neighbor truncation (NNT) approach, this study investigates the realized volatility transmission between the Malaysian Islamic market with various global sectoral Islamic stock markets by extending the heterogeneous autoregressive (HAR)
Sew Lai Ng, Wen Cheong Chin, Lee Lee Chong   +2 more
doaj   +1 more source