Search Results - subject:"Volatility Modeling"

Structural spillovers among Bitcoin, Ethereum, Gold, and U.S. equities : evidence from the 2024 spot ETF institutionalization regime

Bukaita, Wisam; Li, Xinrui - In: Economies : open access journal 14 (2026) 4, pp. 1-18

This study examines dynamic interdependencies and risk transmission among major cryptocurrencies and traditional financial assets, including Bitcoin, Ethereum, U.S. equities, and gold, over the period 2017-2024. Particular attention is given to the structural shift associated with the 2024 U.S....

Persistent link: https://www.econbiz.de/10015633858

Enforcing an admissible parameter space for vector MEM : the fundamental role of matrix inequality constraints

Karanasos, Menelaos; Xu, Yongdeng; Yfanti, Stavroula; … - 2026

the proposed method, we apply it to four empirical cases in financial volatility modeling, emphasizing its practical …

Persistent link: https://www.econbiz.de/10015614295

Enforcing an admissible parameter space for vector MEM: The fundamental role of matrix inequality constraints

Karanasos, Menelaos; Xu, Yongdeng; Yfanti, Stavroula; … - 2026

the proposed method, we apply it to four empirical cases in financial volatility modeling, emphasizing its practical …

Persistent link: https://www.econbiz.de/10015620044

A long short-term memory enhanced realized conditional heteroskedasticity model

Liu, Chen; Wang, Chao; Minh-Ngoc Tran; Kohn, Robert - In: Economic modelling 142 (2025), pp. 1-10

Persistent link: https://www.econbiz.de/10015192384

Modeling and forecasting the CBOE VIX with the TVP-HAR model

Xu, Wen; Aschakulporn, Pakorn; Zhang, Jin E. - In: Journal of forecasting 44 (2025) 5, pp. 1638-1657

Persistent link: https://www.econbiz.de/10015464704

Volatility dynamics of cryptocurrencies : a comparative analysis using GARCH-family models

Sözen, Çağlar - In: Future business journal 11 (2025) 1, pp. 1-12

Cryptocurrency markets have evolved into a vital segment of the global financial ecosystem, drawing considerable interest from both investors and regulatory bodies. Yet, their extreme price instability demands innovative strategies for risk mitigation and investment that diverge from...

Persistent link: https://www.econbiz.de/10015613805

Chasing the black swan and the grey rhino : volatility asymmetries in the Indian stock market

Hussain, Sartaj; Ul Islam, Khalid - In: Journal of Indian business research 17 (2025) 2, pp. 87-110

Persistent link: https://www.econbiz.de/10015425608

Non-linearity in econometric modeling, vol. 1 : A Practical Approach

Sarit Maitra - 2025

application of Kalman Filter to improve the reliability and accuracy of models -- Volatility Modeling discusses the common problem … with volatility or variance and covers how volatility can be computed and modeled -- Hybrid Volatility Modeling discusses … provides a practical and theoretical framework for pricing and analyzing options, utilizing advanced volatility modeling …

Persistent link: https://www.econbiz.de/10015560191

Modeling Bitcoin price dynamics : overcoming kurtosis and skewness challenges for enhanced predictive accuracy

Tamandi, Mostafa - In: Computational economics 65 (2025) 5, pp. 2579-2594

Persistent link: https://www.econbiz.de/10015590273

On deep calibration of (rough) stochastic volatility models

Bayer, Christian; Horvath, Blanka Nora; Muguruza, Aitor; … - In: The journal of FinTech 5 (2025) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10015604264

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