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Apostolos Ampountolas
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of...
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Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit...
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Apostolos Ampountolas
Overnight forecasting is a crucial challenge for revenue managers because of the uncertainty associated between demand and supply. However, there is limited research that focuses on predicting daily hotel demand. Hence, this paper evaluates various model...
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Corlise Liesl le Roux
Pág. 1 - 6
Co-movement and volatility analysis between variables are an important considerations in investment related decisions. The relationships of spot and two future priced sugar contracts are examined against the currency and main index of Brazil, China, Colo...
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Pando Sohn, Ji-Yong Seo
Pág. pp. 21 - 51
This paper investigates two issues: whether there is heterogeneity for fund managers as investors and whether there is asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return data fro...
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Han Ching Huang,Yong-Chern Su,Jen-Tien Tsui
Pág. 390 - 398
This paper uses four asymmetric GARCH models, which are GJR-GARCH, NA-GARCH, T-GARCH, and AV-GARCH to compare their performance on VaR forecasting to the symmetric GARCH model. In addition, we adopt four different mean equations which are ARMA(1,1), AR(1...
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Leandro Maciel
Pág. 337 - 367
Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ib...
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