Results 11 to 20 of about 221,640 (269)
Modeling the Optimal Portfolio: the Case of the Largest European Stock Exchanges
Comparative Economic Research, 2020 Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio based on the investor’s risk tolerance.
Florin Aliu +3 more
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Model Free Inference on Multivariate Time Series with Conditional Correlations
Stats, 2020 New results on volatility modeling and forecasting are presented based on the NoVaS transformation approach. Our main contribution is that we extend the NoVaS methodology to modeling and forecasting conditional correlation, thus allowing NoVaS to work in
Dimitrios Thomakos +2 more
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Volatility Forecasting in Financial Risk Management with Statistical Models and ARCH-RBF Neural Networks [PDF]
Journal of Risk Analysis and Crisis Response (JRACR), 2014 As volatility plays very important role in financial risk management, we investigate the volatility dynamics of EUR/GBP currency. While a number of studies examines volatility using statistical models, we also use neural network approach.
Dusan Marcek, Lukas Falat
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The Effect of Change in Price Limit on Stock Market Volatility and Trading Volume -Evidence from Tehran Stock Exchange (TSE) [PDF]
مجله دانش حسابداری, 2010 Financial market crashes in recent decades have given rise to discussions about excessive volatility in these markets. Some authorities recommend price limits as a device to control excessive price swings, arguing that price limits can provide a cooling ...
Ahmad Badri, Maryam Ramezanian
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Forecasting the Volatility of the Stock Index with Deep Learning Using Asymmetric Hurst Exponents
Fractal and Fractional, 2022 The prediction of the stock price index is a challenge even with advanced deep-learning technology. As a result, the analysis of volatility, which has been widely studied in traditional finance, has attracted attention among researchers.
Poongjin Cho, Minhyuk Lee
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Quantitative Finance and Economics, 2022 This paper quantitatively reveals the meaning of structural breaks for risk management by analyzing US and major European banking sector stocks. Applying newly extended Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity ...
Chikashi Tsuji
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Volatility Modeling and Dependence Structure of ESG and Conventional Investments
Risks, 2022 The question of whether environmental, social, and governance investments outperform or underperform other conventional financial investments has been debated in the literature.
Joanna Górka, Katarzyna Kuziak
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Concentration and Liquidity Costs in Emerging Commodity Exchanges
Journal of Agricultural and Resource Economics, 2018 We analyze the relationships among liquidity costs, volume, and volatility in the Brazilian agricultural futures market, along with the role of market concentration.
Geraldo Jr. Costa +2 more
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Future Internet, 2022 Forecasting the risk factor of the financial frontier markets has always been a very challenging task. Unlike an emerging market, a frontier market has a missing parameter named “volatility”, which indicates the market’s risk and as a result of the ...
Mst. Shapna Akter +3 more
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Investigation of forecasted risk interrelationship: base on GARCH model, causality in China markets
Journal of Business Economics and Management, 2014 This paper used data from the Shenzhen and Shanghai stock markets to simulate the adjusted volatility, and applied time series methods to realize the relationships of the volatilities between the two markets.
Shu-Shian Lin
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