Results 201 to 210 of about 1,787 (258)

Volatility ≠ Risk: When Timing Alpha in Crypto Markets Reflects Mispricing

Financial Review, EarlyView.
ABSTRACT Volatility timing in cryptocurrency markets generates significant alpha, but only during periods of loose monetary policy and high uncertainty. Analyzing S&P crypto indices (2017–2023) dominated by large‐cap assets, we show realized volatility can reflect noise‐driven speculative flows, not risk compensation. This effect is strongest for small‐
Arben Kita, Yue Zhang
wiley   +1 more source

Indicator from the graph Laplacian of stock market time series cross-sections can precisely determine the durations of market crashes. [PDF]

PLoS One
Kang ZT, Yen PT, Cheong SA.
europepmc   +1 more source

Investigating the Dynamics of Sex‐Structured Stock Assessment Models Under Sexual Size Dimorphism

Fisheries Management and Ecology, EarlyView.
ABSTRACT The integration of separate sexes in stock assessment models represents an advancement towards more realistic modeling of interactions between fisheries and target species. However, increased model complexity can also introduce additional uncertainty into the modeling process.
Francisco Izquierdo, Marta Cousido‐Rocha, Massimiliano Cardinale, Maria Grazia Pennino, Andreia V. Silva, Cristina Silva, Hugo Mendes, Santiago Cerviño   +7 more
wiley   +1 more source

Dynamic forecasting and mechanisms of volatility synchronization in complex financial systems. [PDF]

PLoS One
Li JC, Guo J, Ma R, Zhong G.
europepmc   +1 more source

Firm Size and Momentum Returns: The Roles of Analyst Coverage and Herding Behavior

Financial Markets, Institutions &Instruments, EarlyView.
ABSTRACT Momentum strategies have historically generated excess returns, but their effectiveness noticeably deteriorated in the post‐pandemic period, especially in 2022–23. In this paper, we explore how changes in investor attention during and after the COVID‐19 pandemic may have altered the performance of momentum strategies.
Yiyi Zhang, He He, Qian Guo, Jing Chen
wiley   +1 more source

Tail risk, large fluctuations and downfalls in renewable energy markets. [PDF]

PLoS One
Hasanov AS, Ibragimov R, Yildirim R, Chong SK, Abrorov S.   +4 more
europepmc   +1 more source

A Quantile Model of Firm Investment

International Economic Review, EarlyView.
ABSTRACT Are firms risk averse? We propose a dynamic model of firm investment under uncertainty that captures firms' risk attitudes through quantile preferences. The firm maximizes its present value, defined as current profits and investment plus the discounted value of the τ$\tau$‐quantile of its value next period.
Heitor Almeida, Murillo Campello, Luciano de Castro, Antonio F. Galvao   +3 more
wiley   +1 more source

Regional asymmetry in financial markets: Pricing of skewness risk in the Thai stock market. [PDF]

PLoS One
Huynh TT, Khoa BT.
europepmc   +1 more source

LSTM-augmented vine copula modelling for energy-finance contagion analysis. [PDF]

Sci Rep
Zeng L, Huang J, Lin X.
europepmc   +1 more source

The Evolution of the Linkage Among Geopolitical Risk, the US Dollar Index, Crude Oil Prices, and Gold Prices at Multiple Scales: A Wavelet Transform-Based Dynamic Transfer Entropy Network Method. [PDF]

Entropy (Basel)
Yang H, An S, Dong Z, Dong X.
europepmc   +1 more source