Results 141 to 150 of about 10,202,946 (277)

Geopolitical risks and the spillover of food market risks: case analysis of the Chinese grain market. [PDF]

Front Nutr
Li J, Yang Y.
europepmc   +1 more source

Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations [PDF]

In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that the marginal
Dominique Guegan, Abdou Kâ Diongue, Rodney C. Wolff   +2 more
core  

Constrictions and shear stress are key determinants of amyloidogenic light chain (AL) amyloidosis

The FEBS Journal, EarlyView.
In this study, we investigate how flow constrictions and shear stress trigger cardiac antibody light chain (AL) fibril formation and deposition. We mimic the mechanical forces exerted by the heart and the microvasculature network using a mini‐peristaltic pump setup and a grid‐type microchannel network, respectively.
Yuji Goto, Keiichi Yamaguchi, Kichitaro Nakajima, Ikuko Yumen, Ruiming He, Hirokazu Matsuda, Tetsuichi Wazawa, Takeharu Nagai, Nobuhiro Tsukada, Suguru Yamamoto, Johannes Buchner, Hirotsugu Ogi   +11 more
wiley   +1 more source

Seize the Moments: Approximating American Option Prices in the GARCH Framework [PDF]

This paper proposes an efficient approach to compute the prices of American style options in the GARCH framework. Rubinstein's (1998) Edgeworth tree idea is combined with the analytical formulas for moments of the cumulative return under GARCH developed ...
Caroline Sasseville, Genevieve Gauthier, Jin-Chuan Duan, Jean-Guy Simonato   +3 more
core  

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

Modeling Saudi stock index returns and volatility: a dual approach using GARCH and neural networks. [PDF]

Front Artif Intell
Al-Besher S, Al-Najjar D.
europepmc   +1 more source

GARCH Option Pricing Under Skew [PDF]

This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities.
Sofiane ABOURA
core  

Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function

International Statistical Review, EarlyView.
Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler, Denis Belomestny, Simos George Meintanis, Emanuele Taufer   +3 more
wiley   +1 more source

The expected inflation risk premium in the U.S. stock market

Journal of Financial Research, EarlyView.
Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau, Gabriel J. Power, Garrett C. C. Smith   +2 more
wiley   +1 more source