Results 31 to 40 of about 13,792,612 (176)
Conditional probability of jumps in oil prices
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021 The objective of this research is to model the behavior of oil returns. The volatility of oil returns is described through a TGARCH process. Conditional probability jumps are incorporated through uniform, double exponential and normal jump intensity ...
Arturo Lorenzo-Valdés
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International Review of Finance, Volume 26, Issue 3, September 2026.ABSTRACT The first half of the 2020's has seen a degree of economic and geo‐political uncertainty not observed since the 1970s. This paper looks at how listed real estate is exposed to capital market shocks by estimating Conditional Value‐at‐Risk (CoVaR), which captures the sensitivity of real estate returns to extreme movements in broader equity ...
Stanimira Milcheva +2 more
wiley +1 more source
E-Jurnal MatematikaExchange rates play a crucial role among macroeconomic variables, exerting a significant influence on a country's economic landscape. Fluctuations in these rates can impact a nation's stability and economic activities.
MADE NONIK PRAMESTI KARANA +2 more
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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
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
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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
PENERAPAN MODEL THRESHOLD GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTIC (TGARCH) DALAM PERAMALAN HARGA EMAS DUNIA [PDF]
, 2015 Ekonomi merupakan aspek penting suatu negara, beragamnya bentuk kegiatan ekonomi menggambarkan pentingnya ekonomi bagi masyarakat. Salah satu kegiatan ekonomi adalah investasi, investasi saat ini sangat beragam salah satunya investasi emas.
Darmawan, Ryaneka
core
Cogent Economics & Finance, 2023 This study examines the impact of political instability on inflation volatility in the Middle East and North Africa (MENA) region. First, it analyzes the multidimensionality of political instability by adopting a factor analysis technique and finds five ...
Afnan Ghanayem +2 more
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