Results 1 to 10 of about 1,916 (133)

Stock Net Entropy: Evidence from the Chinese Growth Enterprise Market [PDF]

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   +2 more sources

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

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

Model Averaging in Risk Management with an Application to Futures Markets [PDF]

, 2008
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management ...
Pesaran, M. Hashem, Schleicher, C., Zaffaroni, P.   +2 more
core   +4 more sources

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

Dynamic Conditional Correlation with Elliptical Distributions [PDF]

The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns.
Matteo Pelagatti, Stefania Rondena
core   +3 more sources

On the Economic Sources of Stock Market Volatility [PDF]

, 2008
We revisit the relation between stock market volatility and macroeconomic activity using a new class of component models that distinguish short run from secular movements. We combine insights from Engle and Rangel (2007) and the recent work on mixed data
Engle, Robert, Ghysels, Eric, Sohn, Bumjean   +2 more
core   +1 more source

Risk-Based Portfolios with Large Dynamic Covariance Matrices [PDF]

, 2018
journal ...
Imamura Mitsuyoshi, Nakagawa Kei, YOSHIDA Kenichi   +2 more
core   +2 more sources