Search Results - subject_exact:"Aktienindex"

A predictive analytics approach for forecasting global stock index returns using deep learning techniques

Hu, Liang; Shen, Yinru - 2026

Accurately predicting stock index returns remains a critical yet complex task due to the inherent volatility of financial markets and the intricate temporal dependencies within financial time series. This study presents a robust machine learning framework to forecast the relative returns of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654339

Comparative analysis of tail risk in emerging and developed equity markets : an extreme value theory perspective

Dlamini, Sthembiso; Shongwe, Sandile Charles - 2026

This research explores the application of extreme value theory in modelling and quantifying tail risks across different economic equity markets, with focus on the Nairobi Securities Exchange (NSE20), the South African Equity Market (FTSE/JSE Top40) and the US Equity Index (S&P500). The study...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591162

Macroeconomic indicators and market index interactions in the United States : an empirical analysis

Ahmad Monir Abdullah; Syahidah Hanis Meor Rithuan; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620142

Initiating electric vehicle price index and its economic factors : evidence from the stock exchange of Thailand

Aleenajitpong, Natdanai; Kaewpunpong, Karn - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620165

Examining the volatility spillover between the fear index and the magnificent seven technology stocks

Koycu, Erol; Nur, Tugba - 2026

This study investigates the volatility spillover dynamics between the VIX fear index and the Magnificent Seven technology stocks - namely Microsoft, Apple, Nvidia, Amazon, Alphabet, Meta Platforms, and Tesla - over the period of June 2012 to March 2024. To achieve this objective, the variance...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620965

Cryptocurrencies in a sustainable era : analyzing the influence of environmental innovation and US stock indices on bitcoin and Ethereum returns

Mhamid, Imen; Hajji, Asma - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015621679

Empirical analysis of the dogs of the dow trading strategy : Polish evidence

Ziarko-Siwek, Urszula - 2026

This study examines how effective the Dogs of the Dow (DoD) investment strategy, popular in the USA, was for the Polish blue-chip stock market between 2002-2023. This strategy involves investing the same amount of funds each year in shares of ten companies called Dogs of Dow with the highest...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625934

Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members

Li, Shujie - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627081

The OECD.AI Index

2026

The OECD.AI Index provides governments with a robust framework to measure national AI capabilities and track progress in implementing the OECD AI Recommendation. Using a composite measurement framework, the Index combines existing AI-specific indicators from the OECD.AI Policy Observatory with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015630421

The dynamics between dividends and index value in South Africa

Akilo, Olushola Christy; Wet, Milan C. de - 2026

Optimal dividend policy remains a key topic of debate in corporate finance, particularly in emerging markets where investor preferences and macroeconomic volatility affect decision making. This study therefore examines the relationship between dividend policy and the Johannesburg Stock Exchange...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639165

Copula Asymmetry Index (CAI++) : measuring asymmetric equity-volatility tail dependence for defensive allocation

Hatzopoulos, Peter; Statiou, Anastasios D. - 2026

This paper introduces the Copula Asymmetry Index (CAI), a rolling, rank-based measure of asymmetric tail dependence between equity returns and implied-volatility proxies. CAI is defined as the difference between the empirical frequency of joint "equity-down & volatility-up" tail events and that...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640224

Double-edged sword of diversification : commodities and African equity indices in robust vs. optimal portfolio strategies

Kitenge, Anaclet K.; Muteba Mwamba, John; Mba, Jules C. - 2026

This study empirically investigates a central tension in quantitative finance: the divergence between theoretically optimal and robust portfolio construction under real-world estimation uncertainty. Using a dynamic, time-varying optimization framework, we compare the performance of three...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640563

Chaotic scaling and network turbulence in crude oil-equity systems using a Coupled Multiscale Chaos Index

Khoojine, Arash Sioofy; Xiao, Lin; Chen, Hao; Wang, Congyin - 2026

Financial markets often display nonlinear and turbulent dynamics during periods of stress, and crude-oil and global equity systems frequently demonstrate closely connected forms of instability. Earlier studies report multifractality, chaotic features and regime-dependent spillovers across...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643357

Financial performance, risk, and market integration of sustainability-oriented equity indices : implications for the sustainability transition (2010-2025)

Kaspard, Jeanne; Kamel, Cesar; Khalil, Fleur; Beainy, … - 2026

The present study provides a high-frequency empirical assessment of the financial performance, volatility, and market integration of thematic sustainability-oriented equity funds, focusing on clean energy and environmental innovation indices. Specifically, the study compares the financial...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656147

Predicting the volatility of cryptocurrencies' returns using high-frequency data : a comparative analysis of GARCH, EGARCH, IGARCH, GJR-GARCH, LRE, and HAR models

Alsamaani, Abdulrahman; Aldhahi, Huda - 2026

This study provides a comprehensive evaluation of six volatility forecasting models applied to twelve dominant and less dominant cryptocurrencies across multiple time horizons using high-frequency intraday data. The exponential generalized autoregressive conditional heteroskedastic (EGARCH),...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652166

Machine learning-driven portfolio optimization using Money Flow Index-based sentiment signals

Singsiri, Prapassara; Jiraphat Yokrattanasak - 2026

Market indices serve as a benchmark for performance comparison, guide asset allocation decisions, and reflect overall market sentiment and economic conditions, thereby influencing investment strategies by representing a segment of the market. Unquestionably, investor sentiment impacts price...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015653551

A comparative APARCH volatility study of international markets

Madega, Fhulufhedzani Justice; Tshisikhawe, T. H.; … - 2026

This paper compares the daily return volatility by four leading international indices: JSE Top 40, FTSE 100, Nikkei 225 and S&P/ASX 200. The return series are modelled in ARMA process, where ARMA(1,3) values are taken for JSE Top 40 and S&P/ASX 200, ARMA(0,0) for FTSE 100, and ARMA(1,2) for...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015633278

Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting

Liu, Xiaochun; Luger, Richard - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668493

The relationship between spot and future cryptocurrencies : a VECM and GARCH approaches

Amamou, Souhir Amri; Ali, Balkissa Hassane - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664986

From innovation to speculation: AI and the Magnificent Seven

Basele, Rerotlhe B.; Phillips, Peter C. B.; Shi, Shuping - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668595

Financial markets and the economic development index in South Africa : an econometric approach

Kgomo, Dintuku Maggie; Ncanywa, Thobeka - 2026

Economic development is a phenomenon that involves the financial stability and standard of living of a nation's population. To achieve economic prosperity, sound financial development, as a fundamental basis for economic development, is important. The effect of financial markets on economic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015671908

Public-data causal multiscale wavelet spillover learning for stock index volatility forecasting and risk early warning

Liu, Hengyan; Shen, Yisu; Jiang, Aiping - 2026

Accurate volatility forecasting and timely risk early warning are foundational requirements of financial risk management: Value-at-Risk estimates, portfolio risk limits, derivative hedging ratios, and stress-test scenario calibrations all depend on forward-looking volatility signals that remain...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676659

Decoupled or connected? : Bitcoin and global financial spillovers to the Kazakhstan Stock Exchange

Nuskabayeva, Laziza; Syzdykova, Aziza; Azretbergenova, … - 2026

This study investigates the dynamic interactions between Bitcoin, global financial indicators, and the Kazakhstan Stock Exchange (KASE) index within a VAR-based econometric framework, addressing a notable gap in the literature on emerging and shallow financial markets. While prior research...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059274

Modeling the dynamic relationship between stock market performance and key macroeconomic indicators in Saudi Arabia : an ARDL-ECM approach

Elsharif, Mohamed Sharif Bashir; Mohd, Sharif - 2026

This study investigates the short-term and long-term impacts of gross domestic product (GDP), inflation, foreign capital flows, trade balance and interest rate on stock market performance in Saudi Arabia for the period 1990-2023. The autoregressive distributed lag (ARDL) approach and error...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059553

Spatiotemporal return decomposition and multi-strategy performance analysis in Dow Jones Industrial Average constituents : a 20-year empirical investigation

Pattnaik, Sarthak; Jain, Chhayank; Pinsky, Eugene - 2026

This paper presents a comprehensive spatiotemporal decomposition of equity returns for nine top-weighted constituents of the Dow Jones Industrial Average (DJIA) over a twenty-year period spanning January 2004 through December 2023, encompassing 5033 trading days and multiple market regimes,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061230

The interplay of macroeconomic sentiments at financial markets : a comparison of S&P stock and cryptocurrency index

Rasheed, Muhammad Haroon; Farooq, Rabia; Alomair, … - 2026

The global financial system is constantly evolving through technological integration. This has led to the inception and rise in the cryptocurrency market, opening new avenues of comparative studies on market behavior. Therefore, the current study aimed to identify nuances in stock and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061636

ETF indexing strategies and asset prices : experimental evidence

Bossaerts, Peter L.; Duffy, John; Rabanal, Jean Paul; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070135

Dynamic co-movement among exchange rate volatility, energy commodities, and stock indices : a multiple wavelet approach

Mudiangombe, Benjamin; Djemo, Charles Raoul Tchuinkam - 2026

This study employed a different type of wavelet approach to investigate the dynamic interdependence among exchange rate volatility, stock indices, and energy commodity markets. Using daily data covering the period from 2005 to October 2025 on energy commodities, stock index, and foreign exchange...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063919

The historical and expected equity risk premium in Spain : a long-run view : 1900-2020

Battilossi, Stefano; Houpt, Stefan O.; Artola Blanco, Miguel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081642

Does machine learning beat the GARCH benchmark? : historical, filtered, and neural tail-risk measures across thirty-nine global equity markets

Amjad, Raima; Ahmed, Zeeshan - 2026

We compare three families of Value-at-Risk and expected shortfall estimators-rolling historical simulation, GARCH(1,1) filtered historical simulation (FHS), and a walk-forward multi-quantile LSTM-on identical, strictly out-of-sample footing across thirty-nine developed, emerging, and frontier...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016090536

A general randomized test for alpha

Massacci, Daniele; Sarno, Lucio; Trapani, Lorenzo; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015532307

Stock trend forecasting with graph neural networks

Lu, Yao; Chen, Zhangxi - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654902

Contemporaneous and lagged R² decomposed connectedness : evidence for stock market indices, thematic ETFs, bitcoin, brent crude oil and geopolitical risks

Belhouichet, Fekria; Caporale, Guglielmo Maria; … - 2025

This paper applies the R² connectedness method proposed by Balli et al. (2023) to analyse contemporaneous and lagged connectedness between returns on several asset classes (sector ETFs, Bitcoin, stock market indices, Brent crude oil) over the period 1 January 2023 – 22 September 2025, in the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015547417

Dynamic co-movements of stock markets and implications for portfolio managers : evidence from wavelet approach

Saqib Muneer; Waris, Muhammad; Kanwal, Sara; Tripathi, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625351

Cointegration-based pairs trading : identifying and exploiting similar exchange-traded funds

Chen, Kezhong; Alexiou, Constantinos - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015485829

Going international as a force for deterring greenwashing in ESG performance? : a quasi-natural experiment on the inclusion of China's A-shares in the MSCI emerging markets index

Wang, Xiaohong; Zhao, Jiyang - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625944

The determinants of predatory trading : experimental evidence

Kluger, Brian D.; Sağlam, Mehmet - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626704

Integrating macroeconomic and technical indicators into forecasting the stock market : a data-driven approach

Latif, Saima; Aslam, Faheem; Ferreira, Paulo; Iqbal, Sohail - 2025

Forecasting stock markets is challenging due to the influence of various internal and external factors compounded by the effects of globalization. This study introduces a data-driven approach to forecast S&P 500 returns by incorporating macroeconomic indicators including gold and oil prices, the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015207282

Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371777

New score-driven scale and shape interactions : an application to international stock indices

Blazsek, Szabolcs; Hall, Morgan - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015633524

Characterization and prediction of the Ghana stock exchange composite index utilizing Bayesian stochastic volatility models

Tweneboah, Osei Kofi; Ohene-Obeng, Kwesi A.; Mariani, … - 2025

This study delves into the dynamics of the Ghana Stock Exchange Composite Index (GSE-CI) over the period from 2011 to 2022, a symbolic emerging market index that presents unique challenges and opportunities for financial analysis. We characterize the GSE-CI using advanced analytical tools such...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331109

Forecasting value-at-risk and expected shortfall of cryptocurrency using range-based copula method

Kar, Tapan; Meka, Sesha - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636713

Extreme dependence, connectedness, and causality between US sector stocks and oil shocks

Mensi, Walid; Gök, Remzi; Gemici, Eray; Vo Xuan Vinh; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333022

Score-driven expected return and volatility spillovers between the Indian and United States stock markets

Blazsek, Szabolcs; Subrahmanyam, Vijaya; Ayala, Astrid … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636731

Co-movement between NIFTY spot and futures indices : a time-frequency analysis using wavelet

Katoch, Rupinder; Batra, Shilpa - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637363

Climate policies, energy shocks and spillovers between green and brown stock price indices

Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2025

This paper examines the effects of climate policies and energy shocks on mean and volatility spillovers between green and brown stock price indices in five countries (Canada, India, Japan, the UK and the US). More specifically, bivariate GARCH-BEKK models including dummy variables controlling...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333280

The Baltic Dry Index : Statistical Tools for Forecasting, Investment and Hedging Strategies

San Cristóbal, José R. - 2026

Chapter 1. Introduction to the book -- Chapter 2. Descriptive statistics -- Chapter 3. The Financial Returns of the Baltic Dry Index -- Chapter 4. Time series representation methods and Outliers detection techniques -- Chapter 5. Technical Analysis -- Chapter 6. Value at Risk -- Chapter 7....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650412

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - 2025

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333723

Investor attention and its impact on portfolio volatility and sectoral risk spillovers in Borsa Istanbul

Özdemir, Müge; Taş, Oktay - 2025

This study examines the impact of investor attention on portfolio volatility and sectoral risk spillovers in Borsa Istanbul. We use advanced econometric models, including E-GARCH-X, GJR-GARCH-X, and multivariate BEKK-GARCH-X, and analyze daily data from January 2004 to June 2024. We find that...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015334500

The value of AI to the broader market : higher efficiency?

De, Indrani; Staal, Arne; Barnes, Mark - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654261