ARTICLE
|
doi:10.20944/preprints202309.1920.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
Nasdaq-100; asymmetrical stochastic volatility; leverage effect; persistence of volatility
Online: 28 September 2023 (09:32:18 CEST)
ARTICLE
|
doi:10.20944/preprints201704.0158.v1
Online: 25 April 2017 (10:57:21 CEST)
ARTICLE
|
doi:10.20944/preprints202404.1838.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
technical analysis; formal volatility models; volatility prediction; statistical probability of levels; trading algorithms
Online: 28 April 2024 (08:10:02 CEST)
ARTICLE
|
doi:10.20944/preprints202201.0071.v1
Online: 6 January 2022 (10:35:42 CET)
ARTICLE
|
doi:10.20944/preprints202203.0281.v1
Subject:
Business, Economics And Management,
Econometrics And Statistics
Keywords:
COVID-19; GARCH; ARCH; MSDR; Volatility
Online: 21 March 2022 (09:14:26 CET)
ARTICLE
|
doi:10.20944/preprints201909.0280.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
volatility; risk, garch models; nasdaq-100
Online: 25 September 2019 (09:09:06 CEST)
ARTICLE
|
doi:10.20944/preprints202405.1554.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
HOSE; market returns; NARDL; oil price volatility
Online: 23 May 2024 (12:13:35 CEST)
ARTICLE
|
doi:10.20944/preprints202310.1265.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
Financial Integration; Volatility Shocks; Business Cycle Comovement
Online: 20 October 2023 (03:54:17 CEST)
ARTICLE
|
doi:10.20944/preprints202307.0257.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
asset pricing; volatility; price probability; market trades
Online: 5 July 2023 (04:12:09 CEST)
ARTICLE
|
doi:10.20944/preprints202306.0598.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
bias; consistency; efficiency; simulation design; volatility estimation
Online: 8 June 2023 (07:31:27 CEST)
ARTICLE
|
doi:10.20944/preprints202311.1435.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Exchange Rate Volatility; Exports; NARDL; Smooth Threshold Regression
Online: 22 November 2023 (13:48:53 CET)
REVIEW
|
doi:10.20944/preprints202002.0311.v1
Subject:
Computer Science And Mathematics,
Applied Mathematics
Keywords:
Fractional Riccati equation; Rough volatility models; Heston model
Online: 23 February 2020 (02:37:33 CET)
ARTICLE
|
doi:10.20944/preprints201808.0383.v1
Subject:
Business, Economics And Management,
Marketing
Keywords:
tourism demand, climate change, climate volatility, GARCH model
Online: 21 August 2018 (15:48:14 CEST)
ARTICLE
|
doi:10.20944/preprints201805.0001.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
industrial policy; stock price volatility; China’s power market
Online: 1 May 2018 (05:37:39 CEST)
ARTICLE
|
doi:10.20944/preprints201607.0090.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
Economic growth; Foreign aid; Natural resources; Rent-seeking; Volatility
Online: 29 July 2016 (07:48:51 CEST)
ARTICLE
|
doi:10.20944/preprints202405.2162.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
exchange rate shock; asset price volatility; coordination mechanism; DSGE model
Online: 31 May 2024 (14:14:31 CEST)
ARTICLE
|
doi:10.20944/preprints202403.1742.v1
Subject:
Environmental And Earth Sciences,
Environmental Science
Keywords:
PS-InSAR; Wuxi city; Surface volatility; Sentinel-1A; Groundwater level
Online: 29 March 2024 (05:28:11 CET)
ARTICLE
|
doi:10.20944/preprints202309.0382.v1
Subject:
Business, Economics And Management,
Econometrics And Statistics
Keywords:
GARMA; gegenbaur processes; HAR models; realised volatility; rules of thumb
Online: 6 September 2023 (10:26:40 CEST)
ARTICLE
|
doi:10.20944/preprints202306.2001.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Feedback Trading; Investor Sentiment; the Abnormal Volatility of Asset Prices
Online: 28 June 2023 (10:54:03 CEST)
ARTICLE
|
doi:10.20944/preprints202104.0491.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
Productive capacities; Economic growth; Economic growth volatility; Structural Economic Vulnerability.
Online: 19 April 2021 (13:30:15 CEST)
ARTICLE
|
doi:10.20944/preprints202103.0628.v1
Subject:
Computer Science And Mathematics,
Algebra And Number Theory
Keywords:
Volatility; COVID-19 Pandemic; GARCH models; Euro area stock indices.
Online: 25 March 2021 (14:44:00 CET)
ARTICLE
|
doi:10.20944/preprints202012.0629.v1
Subject:
Business, Economics And Management,
Accounting And Taxation
Keywords:
liquidity synchronization; liquidity risk; economic growth volatility; emerging Asian economies
Online: 24 December 2020 (14:01:35 CET)
ARTICLE
|
doi:10.20944/preprints202003.0465.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
inflation; exchange rates; heteroskedasticity; Granger causality; copula, bivariate; volatility clustering
Online: 31 March 2020 (22:45:00 CEST)
ARTICLE
|
doi:10.20944/preprints201904.0272.v1
Subject:
Environmental And Earth Sciences,
Environmental Science
Keywords:
Coffee Output; Climate Change; Commodity Price Volatility; GARCH; ARCH; FMOLS
Online: 24 April 2019 (12:40:21 CEST)
ARTICLE
|
doi:10.20944/preprints202405.0905.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
calendar anomalies; cryptocurrency; day-of-the-week effect; GARCH; volatility; forecasting
Online: 14 May 2024 (11:14:11 CEST)
ARTICLE
|
doi:10.20944/preprints202305.0699.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
Stock Market; CBOE Volatility Index; S & P 500 Index; Investors; Sentiments
Online: 10 May 2023 (07:42:53 CEST)
REVIEW
|
doi:10.20944/preprints202405.0311.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Volatility Spillover; Gold; Aluminum; Silver; Copper; Platinum; Oil; Gas; Soybeans; Corn; Wheat
Online: 7 May 2024 (02:25:57 CEST)
ARTICLE
|
doi:10.20944/preprints202312.0223.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Bitcoin price volatility; economic policy uncertainty; oil prices; NASDAQ index; gold prices
Online: 5 December 2023 (04:24:34 CET)
ARTICLE
|
doi:10.20944/preprints202404.1931.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Derivatives usage; COVID-19 impact; Mutual fund performance; Stock market volatility; Risk management
Online: 29 April 2024 (15:30:32 CEST)
ARTICLE
|
doi:10.20944/preprints202402.0028.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Stock return volatility; COVID-19; Uncertainty; GARCH; Bias-corrected Wavelet coherence analysis; ARDL
Online: 2 February 2024 (06:03:48 CET)
ARTICLE
|
doi:10.20944/preprints202101.0602.v1
Subject:
Business, Economics And Management,
Accounting And Taxation
Keywords:
Economic complexity; Poverty headcount; Economic Growth; Economic growth volatility; Income inequality; External shocks.
Online: 29 January 2021 (06:06:47 CET)
ARTICLE
|
doi:10.20944/preprints201608.0212.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
FDI; GARCH; real exchange rate and price volatility; Latin America and the Caribbean
Online: 26 August 2016 (09:59:32 CEST)
ARTICLE
|
doi:10.20944/preprints202407.0233.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
Multivariate GARCH; DCC model; EGARCH model; Time-varying correlation; volatility; Stock market; portfolio diversification
Online: 2 July 2024 (11:41:16 CEST)
ARTICLE
|
doi:10.20944/preprints202311.0252.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
resilience; grain supply chain; external supply shock; external cost shock; exchange rate volatility shock
Online: 3 November 2023 (12:56:18 CET)
REVIEW
|
doi:10.20944/preprints202305.0260.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Market Connectedness; Volatility Spillovers; Bibliometric analysis; Meta-analysis; Content analysis; Asymmetric information; Portfolio diversification
Online: 4 May 2023 (10:43:59 CEST)
ARTICLE
|
doi:10.20944/preprints202002.0217.v2
Subject:
Environmental And Earth Sciences,
Atmospheric Science And Meteorology
Keywords:
cost-loss; forecast change; forecast volatility; decision making; expected utility; probabilistic forecasts; ensemble forecasts
Online: 8 May 2020 (04:28:30 CEST)
ARTICLE
|
doi:10.20944/preprints202409.1533.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Convex order; "One-X" property; imported volatility; synthetic data generation; stop-loss order
Online: 19 September 2024 (20:13:15 CEST)
ARTICLE
|
doi:10.20944/preprints202308.1943.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
BDT model; zero-coupon bond; implied daily return; implied natural upturn probability; implied daily volatility
Online: 29 August 2023 (08:23:29 CEST)
ARTICLE
|
doi:10.20944/preprints202307.0288.v1
Subject:
Computer Science And Mathematics,
Artificial Intelligence And Machine Learning
Keywords:
Idiosyncratic Volatility Estimation/Prediction; Machine Learning; Deep learning Based Regression; Tree-Based Regression; Artificial Intelligence
Online: 6 July 2023 (02:14:16 CEST)
ARTICLE
Subject:
Business, Economics And Management,
Accounting And Taxation
Keywords:
Foreign Exchange Market, Volatility Spillover, Return Spillover, VAR Framework, Variance Decomposition, Financial Crisis, Financial Interdependence
Online: 8 June 2021 (13:03:39 CEST)
ARTICLE
|
doi:10.20944/preprints201812.0043.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
volatility; returns; stocks; total petroleum; akaike information criterion (AIC), GARCH; value-at-risk (VaR), backtesting
Online: 4 December 2018 (03:16:48 CET)
ARTICLE
|
doi:10.20944/preprints201804.0076.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
conditional dependence index; Kendall's Tau; leverage effect; nonparametric copula; tail dependence index; volatility feedback effect
Online: 6 April 2018 (11:17:36 CEST)
ARTICLE
|
doi:10.20944/preprints202405.1248.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Historical Volatility; Pre-emerging Markets; ARCH-GARCH Models; Deep Learning Approaches; LSTM Network; 1D-CNN Network
Online: 20 May 2024 (16:08:27 CEST)
ARTICLE
|
doi:10.20944/preprints202404.0525.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
Air pollution; Global warming; Fossil fuels; Renewable energy; Carbon emissions; volatility; Reliability; Machine learning; ANN; CNN
Online: 8 April 2024 (11:22:28 CEST)
ARTICLE
|
doi:10.20944/preprints201903.0071.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
Returns, Stocks, Guaranty Trust (GT) Bank, Generalized Autoregressive Conditional Heteroskedasticity (GARCH), Persistence, Half-life, Volatility, Backtesting
Online: 6 March 2019 (10:40:29 CET)
ARTICLE
|
doi:10.20944/preprints202308.1726.v1
Subject:
Computer Science And Mathematics,
Applied Mathematics
Keywords:
4/2 stochastic volatility model; CRRA utility; optimal portfolio choice and consumption; Heston’s process; 3/2 process
Online: 24 August 2023 (07:23:19 CEST)
ARTICLE
|
doi:10.20944/preprints201810.0649.v1
Subject:
Computer Science And Mathematics,
Computational Mathematics
Keywords:
Heston volatility model; initial-boundary value problems; finite difference approximations; up-downwind scheme; order of convergence; stability
Online: 29 October 2018 (04:24:12 CET)
ARTICLE
|
doi:10.20944/preprints202408.0836.v2
Subject:
Computer Science And Mathematics,
Artificial Intelligence And Machine Learning
Keywords:
Deep Learning; LSTM; RNN; EDA; Financial Time Series Prediction; Volatility Estimators; Stock Indices; FX Rates; EUR; USD; Python
Online: 16 August 2024 (09:01:56 CEST)
ARTICLE
|
doi:10.20944/preprints201902.0039.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
Volatility; Stocks; Persistence; Exchange Rate, Inflation Rate; Financial Time Series; Generalized Autoregressive Conditional Heteroscedasticity (GARCH); Multivariate GARCH (MGARCH)
Online: 4 February 2019 (14:56:07 CET)
ARTICLE
|
doi:10.20944/preprints201709.0035.v1
Subject:
Business, Economics And Management,
Econometrics And Statistics
Keywords:
exchange traded funds; financial and energy sectors; co-volatility spillovers; spot and futures prices; generated regressors; Diagonal BEKK
Online: 11 September 2017 (04:35:24 CEST)