Results 1 to 10 of about 5,805 (68)
Adding dummy variables: A simple approach for improved volatility forecasting in electricity market
Journal of Management Science and Engineering, 2023 This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity ...
Xu Gong, Boqiang Lin
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Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility
Mathematics, 2021 This study examines the volatility of nine leading cryptocurrencies by market capitalization—Bitcoin, XRP, Ethereum, Bitcoin Cash, Stellar, Litecoin, TRON, Cardano, and IOTA-by using a Bayesian Stochastic Volatility (SV) model and several GARCH models ...
Jong-Min Kim, Chulhee Jun, Junyoup Lee
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"Investor attention fluctuation and stock market volatility: Evidence from China".
PLoS ONE, 2023 This paper examines the linkage between Chinese stock market volatility and investor attention fluctuation. In Heterogeneous autoregressive (HAR) model, first, we analyzed the linkage between both decomposed and undecomposed stock market realized ...
Taiji Yang, Siqi Zhuo, Yongsheng Yang
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Economies, 2023 Central bank characteristics are important determinants of stock market returns and their volatility. While the literature has examined the effects of transparency and independence, no research has been conducted so far on the effect of central bank ...
Ioannis Dokas +3 more
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Fuzzy Estimation of the Character of the Securities Market
Vestnik MGIMO-Universiteta, 2015 To make the right decisions regarding the purchase or sale of financial assets the definition of the nature of the securities market is required.
G. Y. Ratushnyak, A. G. Sukhanova
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The Role of the Volatility in the Option Market
AppliedMath, 2023 We review some general aspects about the Black–Scholes equation, which is used for predicting the fair price of an option inside the stock market. Our analysis includes the symmetry properties of the equation and its solutions.
Ivan Arraut, Ka-I Lei
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Sobre la volatilidad de la curva de rendimientos del mercado colombiano de deuda pública
Ecos de Economía, 2018 En este trabajo se estima la volatilidad de la estructura temporal de las tasas de interés (ETTI) del mercado colombiano de deuda pública y se explica su relación con los fundamentales macroeconómicos. A partir del modelo paramétrico propuesto por Nelson
José Miguel Sánchez +1 more
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Time-varying properties of asymmetric volatility and multifractality in Bitcoin.
PLoS ONE, 2021 This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.
Tetsuya Takaishi
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MODELING THE ADDITIONAL TAXATION IMPACT ON THE FINANCIAL INSTRUMENTS PRICING
Вестник университета, 2018 The tax on financial transactions as an instrument to restrict the level of speculative trading has considered. A mathematical model in which one of the factors influenced on a financial instrument price is the tax rate on financial transactions, - has ...
S. Kamalov
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The Investigation of the Effect of Credit Power in Companies Listed in Tehran Stock Exchange on Market Value of Equity Volatility [PDF]
راهبرد مدیریت مالی, 2016 In the present study, the effect of credit power in companies listed in Tehran Stock Exchange on market value of equity volatility will be discussed. To measure the credit power of companies, the quick ratio measures amount of trade credit (net amount of
Seyed Ali Taghavi, Leila Golbaz
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