Results 91 to 100 of about 3,586 (227)
Forecasting Related Time Series
Journal of Applied Econometrics, Volume 41, Issue 4, Page 481-498, June/July 2026.ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented
Ulrich K. Müller, Mark W. Watson
wiley +1 more source
A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
Antonio García-Ferrer +2 more
core
, 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
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
Forecasting Stock Market Volatility Using CNN-BiLSTM-Attention Model with Mixed-Frequency Data
MathematicsExisting stock volatility forecasting models predominantly rely on same-frequency market data while neglecting mixed-frequency integration and face particular challenges in incorporating low-frequency macroeconomic variables that exhibit temporal ...
Yufeng Zhang, Tonghui Zhang, Jingyi Hu
doaj +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
The Study of Interdependence between Capital and Currency Markets Using Multivariate GARCH Models [PDF]
In the article an attempt was made to investigate the interaction among the various stock exchanges as well as various exchange rates and then to determine the direction of information flow between capital and currency markets.
Tomasz Chruscinski
core
Day-of-the-week effect on the Tunisian stock market return and volatility
Cogent Business & Management, 2016 In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and
Abdelkader Derbali, Slaheddine Hallara
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
Economic Analysis, 2017 The goal of this article is to give theoretical and empirical review for diagnostic check† ing of multivariate volatility processes. In theoretical part we presented three categories diagnostics for con† ditional heteroscedasticity models: portmanteau
Jelena Minović
doaj