Results 41 to 50 of about 1,203 (162)
Econometrics at the Extreme: From Quantile Regression to QFAVAR1
Journal of Economic Surveys, Volume 40, Issue 3, Page 1672-1686, July 2026.ABSTRACT This paper surveys quantile modelling from its theoretical origins to current advances. We organize the literature and present core econometric formulations and estimation methods for: (i) cross‐sectional quantile regression; (ii) quantile time series models and their time series properties; (iii) quantile vector autoregressions for ...
Stéphane Goutte +4 more
wiley +1 more source
Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model [PDF]
, 2019 Recent research reveals that calendar effects have largely disappeared from stock markets. However, majority of the past studies focus on stock markets at the aggregate level but do not provide firm-level evidence.
Qaiser Munir, Kok, Sook ching
core +2 more sources
MODELING THE HETEROSKEDASTIC NATURE OF EPIDEMICS: GARCH APPLICATIONS IN COVID-19 AND INFLUENZA INCIDENCE [PDF]
Acta Scientifica MalaysiaTraditional infectious disease models often emphasize central tendencies, such as average case counts, while overlooking the importance of time-varying volatility in incidence patterns.
Olayemi Michael Sunday +2 more
doaj +1 more source
Forecasting of Global Market Prices of Major Financial Instruments
Journal of Probability and Statistics, 2020 One of the easiest and fastest ways of building a healthy financial future is investing in the global market. However, the prices of the global market are highly volatile due to the impact of economic crises.
Roshani W. Divisekara +2 more
doaj +1 more source
Jump Driven Risk Model Performance in Cryptocurrency Market
International Journal of Financial Studies, 2020 This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at ...
Ramzi Nekhili, Jahangir Sultan
doaj +1 more source
Forecasting Carbon Prices: A Literature Review
Journal of Forecasting, Volume 45, Issue 2, Page 496-529, March 2026.ABSTRACT Carbon emissions trading is utilized by a growing number of states as a significant tool for addressing greenhouse gas emissions (GHG), global warming problem and the climate crisis. Accurate forecasting of carbon prices is essential for effective policy design and investment strategies in climate change mitigation.
Konstantinos Bisiotis +2 more
wiley +1 more source
Journal of Economic Surveys, Volume 40, Issue 1, Page 443-468, February 2026.ABSTRACT Cryptocurrency markets are known for their wide price fluctuations, lack of central control, and fast‐paced development. These characteristics present serious challenges to traditional theories about how markets work and how prices reflect available information.
Giulia Fantini, Joy Jia, Chiara Oldani
wiley +1 more source
Nonlinear Dependence Structure Between BRICS Stock Markets, Gold, and Cryptocurrencies
The Manchester School, Volume 94, Issue 1, Page 75-89, January 2026.ABSTRACT This study aims to conduct an in‐depth analysis of the complex nonlinear dependence relationships between cryptocurrencies and gold within the stocks of BRICS countries. The study employs a GARCH‐EVT‐Vine‐Copula and wavelet coherence models to evaluate the interconnectedness, tail risk and Co‐movement pattern of these assets before and after ...
Jiale Yan
wiley +1 more source
Improving Risk Factor of Market Risk Capital Requirement in Solvency Model of Iranian Insurance Industry [PDF]
مدلسازی اقتصادسنجی, 2018 The main purpose of this paper is to present a more efficient method than the 69th act and previous studies, for determining risk factor of Market Risk Capital Requirement.
Nader Mazloumi, Amir Safari, Reza Jafari
doaj +1 more source
Applied Computational Intelligence and Soft Computing, Volume 2026, Issue 1, 2026.In emerging financial markets, stock price forecasting is challenged by nonstationarity, irregular trading calendars, and evolving structural dynamics that limit the effectiveness of conventional linear models. This study develops and evaluates a seasonal‐adjusted hybrid machine learning framework to forecast the daily closing stock prices of Square ...
K. M. Zahidul Islam +9 more
wiley +1 more source