Results 1 to 10 of about 239,377 (84)

Time-varying beta, market volatility and stress: A comparison between the United States and India

IIMB Management Review, 2021
This study examines the time-varying nature of industry betas in India and the United States to explore whether their observed behaviours are independent of the extent of development of the financial market.
Gagari Chakrabarti, Ria Das
doaj   +1 more source

Single or Combine? Tourism Demand Volatility Forecasting with Exponential Weighting and Smooth Transition Combining Methods

Computation, 2022
Tourism forecasting has garnered considerable interest. However, integrating tourism forecasting with volatility is significantly less typical. This study investigates the performance of both the single models and their combinations for forecasting the ...
Yuruixian Zhang, Wei Chong Choo, Jen Sim Ho, Cheong Kin Wan   +3 more
doaj   +1 more source

Understanding volatility transmission mechanism among the cds markets: Europe & North America versus Brazil & Turkey

Economia Aplicada, 2013
This study examines the volatility transmission mechanism among the developed and emerging CDS markets by employing multivariate GAR-CH modeling. As the globalization resulted with more integration of financial markets, it is important for market ...
Hakki Arda Tokat
doaj   +5 more sources

Stock Net Entropy: Evidence from the Chinese Growth Enterprise Market

Entropy, 2018
By introducing net entropy into a stock network, this paper focuses on investigating the impact of network entropy on market returns and trading in the Chinese Growth Enterprise Market (GEM).
Qiuna Lv, Liyan Han, Yipeng Wan, Libo Yin   +3 more
doaj   +1 more source

High Frequency Trading: análise de retorno, volume e volatilidade

Faces: Revista de Administração, 2018
O artigo tem o objetivo de analisar a relação entre a volatilidade dos preços e volume na bolsa de valores brasileira em momentos antes e pós-iniciação das estratégias HFT.
Alcides Carlos de Araújo, Alessandra Montini   +1 more
doaj   +1 more source

Chaos, Fractionality, Nonlinear Contagion, and Causality Dynamics of the Metaverse, Energy Consumption, and Environmental Pollution: Markov-Switching Generalized Autoregressive Conditional Heteroskedasticity Copula and Causality Methods

Fractal and Fractional
Metaverse (MV) technology introduces new tools for users each day. MV companies have a significant share in the total stock markets today, and their size is increasing.
Melike Bildirici, Özgür Ömer Ersin, Blend Ibrahim   +2 more
doaj   +1 more source

Volatility Forecasting of Crude Oil Market: Can the Regime Switching GARCH Model Beat the Single-Regime GARCH Models?

International Review of Economics and Finance, 2019
Yue-Jun Zhang, Ling-Yun He
exaly  

Persistence in Variance, Structural Change, and the GARCH Model

Journal of Business and Economic Statistics, 1990
William Dean Lastrapes, Christopher G Lamoureux   +1 more
exaly  

Bitcoin, Gold and the Dollar – A GARCH Volatility Analysis

Finance Research Letters, 2016
Anne Haubo Dyhrberg
exaly  

Augmented GARCH (p,q) Process and Its Diffusion Limit

Journal of Econometrics, 1997
Jin-Chuan Duan
exaly