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Dynamics of Connectedness in Clean Energy Stocks
Energies, 2020 This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities ...
Fernanda Fuentes, Rodrigo Herrera
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Equity Risk: Measuring Return Volatility Using Historical High-Frequency Data
Studies in Business and Economics, 2019 Market Volatility has been investigated at great lengths, but the measure of historical volatility, referred to as the relative volatility, is inconsistent.
Alan Chow, Kyre Lahtinen
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The role of oil futures intraday information on predicting US stock market volatility
Journal of Management Science and Engineering, 2021 This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover,
Yusui Tang +3 more
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Forecasting realized volatility through financial turbulence and neural networks
Economics and Business Review, 2023 This paper introduces and examines a novel realized volatility forecasting model that makes use of Long Short-Term Memory (LSTM) neural networks and the risk metric financial turbulence (FT).
Souto Hugo Gobato, Moradi Amir
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RisksIf intraday price data are unavailable, then using daily returns to construct realized measures of the variances of lower-frequency returns is a natural substitute for using high-frequency returns in this context.
Chris Kirby
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Design and analysis strategies for robust microbiome ageing research
FEBS Letters, EarlyView.The gut microbiome changes with age and associates with age‐related morbidity and mortality, establishing it as a potential biomarker and intervention target for ageing. Realising this potential requires methodological rigour, yet distinguishing biological signals from methodological artefacts remains challenging across cohorts. This review provides an
Mark Olenik +5 more
wiley +1 more source
FORECASTING THE REALIZED VOLATILITY OF ISLAMIC EQUITIES USING MULTIVARIATE HAR-TYPE MODELS
The International Journal of Banking and FinanceThis study proposes nine multivariate intraday models using various realized variation measures with the aim to improve volatility forecasting in the Islamic stock market in Malaysia using a dataset from 1st April 2008 to 31st March 2018.
Sew Lai Ng +3 more
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Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH [PDF]
مدلسازی اقتصادسنجی, 2018 Estimation of conditional variance has lots of application reflecting economic, especially financial economics, social economics and political economics’ risk and volatility research.
Esmaiel Abounoori, Mohammad Amin Zabol
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Structural and biochemical analysis of a B12 superbinder
FEBS Letters, EarlyView.BtuG proteins are vitamin B12 scavengers in Bacteroides thetaiotaomicron, a dominant human gut bacterium. We present crystal structures of three BtuG homologs bound to cobalamin and its precursor cobinamide, revealing picomolar binding affinities, among the highest known for any natural protein.
Jose M. Martinez Felices +3 more
wiley +1 more source
Forecasting Realized Volatility with Linear and Nonlinear Models [PDF]
In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes.
McAleer, M.J., Medeiros, M.C.
core +6 more sources