Search Results - subject:"Generalized Autoregressive conditional heteroscedasticity" - EconBiz

Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks

Barson, Zynobia; Owusu Junior, Peterson - In: Research in globalization 8 (2024), pp. 1-23

We present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We explored which model specification and distributional...

Persistent link: https://www.econbiz.de/10015050054

The impact of macroeconomic uncertainty on the relationship between financial volatility and real economic activity

Nakajima, Jouchi - In: Applied economics 56 (2024) 47, pp. 5591-5604

Persistent link: https://www.econbiz.de/10015051120

Estimation of nonlinear DSGE models through Laplace based solutions

Baiaman, Elnura; Leon-Gonzalez, Roberto - 2024

Persistent link: https://www.econbiz.de/10015051301

Spillovers and hedging effectiveness between oil and US equity sectors : evidence from the COVID pre- and post-vaccination phases

Yousaf, Imran; Arfaoui, Nadia; Gubareva, Mariya - In: Research in international business and finance 69 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015052236

Performance of crypto-Forex portfolios based on intraday data

Esparcia, Carlos; López, Raquel - In: Research in international business and finance 69 (2024), pp. 1-32

Persistent link: https://www.econbiz.de/10015052354

Return and volatility spillovers among oil price shocks and international green bond markets

Umar, Zaghum; Hadhri, Sinda; Abakah, Emmanuel Joel Aikins; … - In: Research in international business and finance 69 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10015052397

Frequency volatility connectedness and portfolio hedging of U.S. energy commodities

Kočenda, Evžen; Moravcová, Michala - In: Research in international business and finance 69 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10015052535

Extreme risk spillovers between stock and bond markets

Ning, Cathy Q.; Ponrajah, Jeremey - 2024

Persistent link: https://www.econbiz.de/10015052590

Forecasting salmon market volatility using long short-term memory (LSTM)

Zitti, Mikaella - In: Aquaculture economics & management : official journal … 28 (2024) 1, pp. 143-175

Persistent link: https://www.econbiz.de/10015053133

Deciphering asymmetric spillovers in US industries : insights from higher-order moments

Muhammad Shafiullah; Senthilkumar, Arunachalam; Lucey, … - In: Research in international business and finance 70 (2024) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10015053386

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