Results 101 to 110 of about 30,423 (304)

A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios

Journal of Forecasting, EarlyView.
ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley   +1 more source

Asymmetric International Transmission in the Conditional Mean and Volatility to the Japanese Market from the U.S.:EGARCH vs. SV Models [PDF]

This paper investigates whether the upturns and downturns of the U.S. market exert asymmetric influence on the conditional mean and volatility of the Japanese market using the daily returns on stock price indices.
Tatsuyoshi Junji Shimada, Tatsuyoshi Miyakoshi, Yoshihiko Tsukuda   +2 more
core  

Exploring the Nexus Between Sustainability Index and Central European Stock Markets Competitiveness: Evidence Through Time–Frequency Analysis and SHAP

Journal of Forecasting, EarlyView.
ABSTRACT Sustainability has become an important factor shaping financial markets and investor behavior. This paper examines the relationship between sustainability indices and Central European stock markets using a time–frequency approach. Wavelet coherence is employed to capture time‐varying co‐movements between sustainability indices and stock market
Zuzana Janková, Dipak Kumar Jana, Michal Páleš, Elena Fleaca, Petr Dostál   +4 more
wiley   +1 more source

Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums

Journal of Futures Markets, EarlyView.
ABSTRACT By decomposing West Texas Intermediate futures price changes into structural supply and demand shocks, this paper shows that dissecting the oil price significantly improves inflation forecasts. Empirically, demand‐driven shocks predict a negative real bond risk premium but a positive inflation risk premium; these opposing effects result in an ...
Haibo Jiang
wiley   +1 more source

Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis [PDF]

The aim of this paper is to investigate whether the US subprime financial turmoil has had any statistically significant effect on the conditional volatility of stock prices in Latin America for which the BEKK methodology is adopted, developed by Engle ...
Fernanda G Barba, Paulo S Ceretta
core  

On the Comovement of Contango and Backwardation Across Futures Commodity Markets

Journal of Futures Markets, EarlyView.
ABSTRACT We examine the time‐varying nature of the comovement of the slope of the futures curve in major agricultural, metals and energy commodity futures markets in a Global Vector Autoregressive model. We find significant comovement between the slopes, indicating the co‐existence of backwardation and contango in many seemingly unrelated commodity ...
Angelo Luisi, Francesco Roccazzella, Athanasios Triantafyllou   +2 more
wiley   +1 more source

The Impact of Democratization and Globalization on Environmental Sustainability in Brazil

Geological Journal, EarlyView.
Fossil fuel, economic globalisation, and economic growth drive environmental degradation while democratisation positively influences environmental quality. ABSTRACT Although Brazil still possesses significant ecological reserves, the surplus in its biocapacity has been rapidly declining in recent years.
Mustafa Naimoğlu, Mehmet Metin Dam, Serdar Ongan, Andrew Adewale Alola   +3 more
wiley   +1 more source

To Examine the Spillover effect between the KSE100 and S&P500 Index

Universidad y Empresa, 2018
The volatility spillover is defined as the transmission of instability from market to market. It occurs when the volatility price change in one market causes a lagged impact on volatility price in another market above the local effects of market. In this
Mudassar Hasan, Muhammad Ishfaq Ahmad, Muhammad Abubakr Naeem, Muhammad Akram Naseem, ramiz Ur Rehman   +4 more
doaj   +1 more source

Spillover Effects of Cryptocurrency Volatility on Green Finance

Engineering Economics
This study investigates the risk spillover between clean and dirty cryptocurrencies and their impact on green finance indexes (solar, wind, and nuclear energy) and regional economic indexes (Baltic Dry Index and CRB Index), with data processed using the diagonal BEKK model. The results identify several dirty cryptocurrencies such as: Ethereum Cash (ETC)
Iulia Cristina Iuga, Raluca Andreea Nerisanu, Larisa-Loredana Dragolea   +2 more
openaire   +1 more source

Sustainability Performance and Corporate Risk: Evidence From the Tourism Industry

International Journal of Finance &Economics, EarlyView.
ABSTRACT We investigate the impact of sustainability performance (Refinitiv Environmental, Social, and Governance [ESG] scores) on corporate risk (CR). We apply stakeholder theory and the resource‐based view to an international sample of 247 tourism firms from 2002 to 2018.
Omneya Abdelsalam, Antonios Chantziaras, Vassiliki Grougiou, Stergios Leventis, Nikolaos Tsileponis   +4 more
wiley   +1 more source