Results 171 to 180 of about 3,217 (234)
A New Implementation of Network GARCH Model for Stock Volatility and Co‐Volatility Forecasting
Journal of Forecasting, EarlyView.ABSTRACT Volatility clustering and spillovers are key features of financial time series with many cross‐sectional assets. While network analysis links similar or correlated stocks and helps trace volatility spillovers, contemporary multivariate ARCH‐GARCH formulations struggle to represent structured network dependence and remain parsimonious.
Peiyi Zhou
wiley +1 more source
Complex cooperativity in DNA origami revealed via design-dependent defectivity. [PDF]
Nucleic Acids ResMajikes JM +6 more
europepmc +1 more source
Journal of Forecasting, EarlyView.ABSTRACT This paper presents a method for forecasting limit order book durations using a self‐exciting flexible residual point process. High‐frequency events in modern exchanges exhibit heavy‐tailed interarrival times, posing a significant challenge for accurate prediction.
Kyungsub Lee
wiley +1 more source
Learning stochastic processes with intrinsic noise from cross-sectional biological data. [PDF]
Proc Natl Acad Sci U S AMaddu S, Chardès V, Shelley MJ.
europepmc +1 more source
Loss‐Aware Forecast Construction for Realized Variance
Journal of Forecasting, EarlyView.ABSTRACT Forecasts of realized variance are commonly constructed from models of log‐realized variance and then transformed back to the original scale. However, the resulting forecasts are often evaluated using loss functions defined in relative rather than absolute terms, creating a potential mismatch between forecast construction and forecast ...
Nick Taylor
wiley +1 more source
The impact of dichotomization on network recovery. [PDF]
Behav Res MethodsSekulovski N +3 more
europepmc +1 more source
Carbon Performance, Climate Governance, and Equity Risk
International Journal of Finance &Economics, EarlyView.ABSTRACTThis paper examines the relationship between carbon performance, climate governance, and equity risk. Using a sample of companies listed in the S&P500 index for the period 2009–2023, our results show that better carbon performance reduces equity risk, indicating that proactive carbon management reduces uncertainty and is beneficial to firms ...
Irma Malafronte +2 more
wiley +1 more source
A stochastic daily weather generator for perennial crop simulations in tropical Malaysia. [PDF]
PLoS OneTeh CBS, Cheah SS, Appleton DR.
europepmc +1 more source
Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations
International Journal of Finance &Economics, EarlyView.ABSTRACT We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes episodes of severe stress, such as the Global Financial Crisis, the COVID‐19 pandemic, and the Ukrainian War.
Reinhold Heinlein +2 more
wiley +1 more source