Results 31 to 40 of about 681,470 (291)

Structurally-Induced Volatility Clustering [PDF]

, 2003
Many standard structural models in economics have the property that they induce persistent, partially predictable heteroskedasticity ("volatility clustering") in their key dependent variables, even when their underlying stochastic shock variables are all serially independent and homoskedastic, and their structural parameters are all time-invariant ...
Machina, Mark J, Granger, Clive W.J.
openaire   +3 more sources

Leverage Causes Fat Tails and Clustered Volatility [PDF]

SSRN Electronic Journal, 2010
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing", i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are normally distributed and uncorrelated across time.
Thurner, S., Farmer, J.D., Geanakoplos, J.   +2 more
openaire   +6 more sources

Modeling long-term volatility memory dynamics in the Colombo Stock Exchange [PDF]

IIM Ranchi Journal of Management Studies
PurposeThis study examines the long-term volatility memory dynamics of the Colombo Stock Exchange by comparing the behaviors of the All Share Price Index (ASPI) and the S&P SL20 Index under recent economic scenarios.Design/methodology/approachThe paper ...
Mohamed Ismail Mohamed Riyath
doaj   +1 more source

The impact of disruptive technology on banking under switching volatility regimes

Technological and Economic Development of Economy, 2023
This paper uses the case of Spain to investigate whether and how disruptive technology impacts banking stock returns under a high volatility regime and a low volatility regime.
Laura Arenas, Anna María Gil-Lafuente, Josefa Boria Reverter   +2 more
doaj   +1 more source

Realized volatility and absolute return volatility: a comparison indicating market risk. [PDF]

PLoS ONE, 2014
Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies.
Zeyu Zheng, Zhi Qiao, Tetsuya Takaishi, H Eugene Stanley, Baowen Li   +4 more
doaj   +1 more source

Provincial Clustering using GARCH-based Chili Price Volatility Features

Sistemasi: Jurnal Sistem Informasi
Bird's eye chili is a strategic food commodity in Indonesia whose prices are highly susceptible to interregional fluctuations due to differences in distribution systems and supply chain conditions. These fluctuations often occur over short time horizons,
Yogata Rama Guninta, Bety Wulan Sari, Yoga Pristyanto   +2 more
doaj   +1 more source

Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market [PDF]

, 2009
We propose recent functional data analysis techniques to study the intra-daily volatility. In particular, the volatility extraction is based on functional principal components and the volatility prediction on functional AR(1) models.
Ruiz Ortega, Esther, Alva, Kenedy, Romo, Juan   +2 more
core   +1 more source

Clustering and Volatility Spillovers in Steel-Related Commodity Markets: Evidence from US Producer Prices and Global Metal Indices

Commodities
This research examines the clustering structure and volatility spillover among steel-related products in monthly data from July 2004 to September 2025.
Ana Lorena Jiménez-Preciado, Francisco Venegas-Martínez, José Álvarez-García   +2 more
doaj   +1 more source

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
doaj   +1 more source

Validation of a Cellular Imaging‐Based Method as a Potential Biomarker for SPG4 Hereditary Spastic Paraplegia

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Background Hereditary Spastic Paraplegia (HSP) comprises a group of rare genetic diseases characterized by length‐dependent axonal degeneration of the corticospinal tracts and dorsal columns, whose main clinical feature is spastic gait. Pathogenic variants in the SPG4 gene cause Spastic Paraplegia Type 4 (SPG4‐HSP), the most common form of HSP.
Gaia Fattorini, Valerio Licursi, Gianmarco Dalla Zanna, Flavio Dal Canto, Melissa Barghigiani, Nunzio Setola, Salvatore Rossi, Antonio Funcis, Filippo M. Santorelli, Gabriella Silvestri, Carlo Casali, Francesca Sardina, Cinzia Rinaldo   +12 more
wiley   +1 more source