Results 61 to 70 of about 10,202,946 (277)

Return and Volatility Spillovers Among Major Cotton Markets

Agribusiness, EarlyView.
ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli, Berna Karali, Yangxuan Liu, Munisamy Gopinath   +3 more
wiley   +1 more source

Modeling Nigerian stock exchange volatility with a novel sine-exponentiated Student's t GARCH framework

Journal of Statistical Sciences and Computational Intelligence
This study evaluated the performance of GARCH models with sine-exponentiated Student's t-distributed error innovations in predicting stock return volatility in the Nigerian Exchange Group (NGX). Aware of the weaknesses of conventional GARCH models based on Student's t innovations, this study proposes a novel hybrid error distribution that can capture ...
Aishatu Kaigama, Harun Rann Bakari, Yusuf Abbakar Mohammed, Hamidu Aliyu Chamalwa, Alhaji Modu Isa   +4 more
openaire   +1 more source

Weather Attention in Online Discourse and Price Uncertainty in Agricultural Futures Markets

Agribusiness, EarlyView.
ABSTRACT Weather is a central determinant of production risk in agricultural markets, but markets respond not only to weather conditions themselves, but also to how those conditions are noticed, framed, and interpreted in public discourse. In this setting, real‐time online weather discussions may shape price uncertainty by influencing how market ...
Mario A. Ortez, Olga Isengildina Massa, Michael Liam Smith, Nicole Olynk Widmar   +3 more
wiley   +1 more source

Heterogeneous Markov-Switching GARCH Models for U.S. Tourism Active Stock Trading

Mathematics
This paper tests the benefits of using heterogeneous Markov-Switching GARCH (MS-GARCH) models for active trading of tourism (leisure and entertainment) stocks by performing a weekly backtest of the 36 combinations of two-regime MS-GARCH models, given ...
Oscar V. De la Torre-Torres, José Álvarez-García, María de la Cruz del Río-Rama, Francisco J. Fernández-González   +3 more
doaj   +1 more source

The Measurement of Risk based on the Criterion of Value at Risk via Model of GARCH (A Study of Stock of Listeَd Companies in Tehran Stock Exchange (TSE) in the Cement Industry) [PDF]

راهبرد مدیریت مالی, 2015
All of investors in the Stock Exchange face risks. Thus, the measurement of risk is among the most important matters to investors. This study deals with the measurement of risk by criterion of Value at Risk. VaR was measured by using a GARCH model.
tahereh kiani, dariush farid, hojjatollah sadeghi   +2 more
doaj   +1 more source

Bayesian Exploration of Metal‐Organic Framework‐Derived Nanocomposites for High‐Performance Supercapacitors

Advanced Intelligent Discovery, EarlyView.
An AI‐assisted approach is introduced to decode synthesis–performance relationships in metal‐organic framework‐derived supercapacitor materials using Bayesian optimization and predictive modeling, streamlining the search for optimal energy storage properties.
David Gryc, Pritam Banerjee, Felipe Jacques Lima Duarte, Joerg R. Jinschek, Premkumar Murugesan, Babak Rezaei, Stephan Sylvest Keller, Roland A. Fischer, Mian Zahid Hussain   +8 more
wiley   +1 more source

Thermally Drawn Bioelectric Catheters: Enabling Proprioceptive Endovascular Navigation

Advanced Intelligent Systems, EarlyView.
This work introduces a novel bioelectric navigation system eliminates the need for harmful fluoroscopy during endovascular surgeries. A bespoke 16‐electrode catheter is fabricated using rapid thermal drawing and laser micro‐machining. Paired with a real‐time tracking algorithm fusing vascular geometry detection and distance estimation, this technology ...
Alex Ranne, Heiko Maier, Jinshi Zhao, Songli Moey, Ayhan Aktas, Manik Chana, Burak Temelkuran, Nassir Navab, Ferdinando Rodriguez y Baena   +8 more
wiley   +1 more source

Theory and Inference for a Markov-Switching GARCH Model [PDF]

We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity
Jeroen V.K. Rombouts, Arie Preminger, Luc Bauwens   +2 more
core   +6 more sources

Modeling Volatility: Evidence from Tehran Stock Exchange [PDF]

تحقیقات مالی, 2009
The research problem investigated in this paper is modeling volatility and analyzing risk and return’s relationship in Tehran Stock Exchange using GARCH-family models including GARCH(1,1), GARCH(2,2), EGARCH(1,1), PGARCH(1,1), TGARCH(1,1), GARCH(1,1)-M ...
Shapour Mohammadi, Reza Raei, Reza Tehrani, Arash Faizabad   +3 more
doaj  

Symmetric Normal Mixture GARCH [PDF]

Normal mixture (NM) GARCH models are better able to account for leptokurtosis in financial data and offer a more intuitive and tractable framework for risk analysis and option pricing than student’s t-GARCH models.
Emese Lazar, Carol Alexandra
core