Search Results - subject:"Generalized Autoregressive conditional heteroscedasticity"

Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?

Babalos, Vassilios; Bouri, Elie; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014521259

Energy market uncertainties and exchange rate volatility : a GARCHMIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014521267

Volatility forecasting with machine learning and intraday commonality

Zhang, Chao; Zhang, Yihuang; Cucuringu, Mihai; Qian, … - In: Journal of financial econometrics 22 (2024) 2, pp. 492-530

Persistent link: https://www.econbiz.de/10014526335

Deep learning for multivariate volatility forecasting in high-dimensional financial time series

Iwafuchi, Rei; Matsuda, Yasumasa - 2024

Persistent link: https://www.econbiz.de/10014526627

Relationships among return and liquidity of cryptocurrencies

Zhang, Mianmian; Zhu, Bing; Li, Ziyuan; Jin, Siyuan; … - In: Financial innovation : FIN 10 (2024), pp. 1-30

and persistent efects, we apply the autoregressive integrated moving average-generalized autoregressive conditional … heteroscedasticity (ARIMA-GARCH) model and subsequently utilize the copula method to examine the interdependent relationships between the …

Persistent link: https://www.econbiz.de/10014529822

Realized volatility spillovers between energy and metal markets : a time-varying connectedness approach

Cuñado Eizaguirre, Juncal; Gabauer, David; Gupta, Rangan - In: Financial innovation : FIN 10 (2024), pp. 1-17

This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al. (J Risk Financ Manag 13(4):84, 2020). The results suggest that...

Persistent link: https://www.econbiz.de/10014530244

Inflation dynamics and persistence : the importance of the uncertainty channel

Canepa, Alessandra - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014534818

Bitcoin halving and the integration of cryptocurrency and forex markets : an analysis of the higher-order moment spillovers

Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: International review of economics & finance : IREF 92 (2024), pp. 302-315

Persistent link: https://www.econbiz.de/10014534898

A hybrid econometrics and machine learning based modeling of realized volatility of natural gas

Kristjanpoller Rodríguez, Werner - In: Financial innovation : FIN 10 (2024), pp. 1-32

Determining which variables afect price realized volatility has always been challenging. This paper proposes to explain how fnancial assets infuence realized volatility by developing an optimal day-to-day forecast. The methodological proposal is based on using the best econometric and machine...

Persistent link: https://www.econbiz.de/10014535318

Forecasting gold returns volatility over 1258-2023 : the role of moments

Muddana, Thanoj K.; Bhimreddy, Komal S. R.; Majumdar, … - 2024

Persistent link: https://www.econbiz.de/10014536233