[HTML][HTML] Forecasting: theory and practice
Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …
uncertainty that surrounds the future is both exciting and challenging, with individuals and …
[HTML][HTML] A review of copula models for economic time series
This survey reviews the large and growing literature on copula-based models for economic
and financial time series. Copula-based multivariate models allow the researcher to specify …
and financial time series. Copula-based multivariate models allow the researcher to specify …
COVID-19's disasters are perilous than Global Financial Crisis: A rumor or fact?
This investigation employed the Asymmetric Power GARCH model and found that COVID-19
substantially harms the US and Japan's market returns. Moreover, COVID-19 has influenced …
substantially harms the US and Japan's market returns. Moreover, COVID-19 has influenced …
Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models
Volatility plays crucial roles in financial markets, such as in derivative pricing, portfolio risk
management, and hedging strategies. Therefore, accurate prediction of volatility is critical …
management, and hedging strategies. Therefore, accurate prediction of volatility is critical …
Geopolitical risk and oil volatility: A new insight
Motivated by the importance of geopolitical risk and its possible predictive power for oil
volatility, this paper aims to quantitatively investigate the role of geopolitical risk (GPR) …
volatility, this paper aims to quantitatively investigate the role of geopolitical risk (GPR) …
[HTML][HTML] Hybrid deep learning and GARCH-family models for forecasting volatility of cryptocurrencies
Abstract The combination of Deep Learning and GARCH-type models has been proved to
be superior to the single models in forecasting of volatility in various markets such as …
be superior to the single models in forecasting of volatility in various markets such as …
Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets
Green finance markets focus on environment-friendly investments and help address climate
change. This study explores the asymmetric dynamic volatility spillovers among new energy …
change. This study explores the asymmetric dynamic volatility spillovers among new energy …
Momentum has its moments
Compared with the market, value, or size factors, momentum has offered investors the
highest Sharpe ratio. However, momentum has also had the worst crashes, making the …
highest Sharpe ratio. However, momentum has also had the worst crashes, making the …
Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?
This paper aims to identify the most informative determinant in forecasting crude oil market
volatility. We use a new GARCH-class model based on mixed data sampling regression and …
volatility. We use a new GARCH-class model based on mixed data sampling regression and …
Stagnation traps
We provide a Keynesian growth theory in which pessimistic expectations can lead to very
persistent, or even permanent, slumps characterized by high unemployment and weak …
persistent, or even permanent, slumps characterized by high unemployment and weak …