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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
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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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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John Weirstrass Muteba Mwamba and Sutene Mwambetania Mwambi
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purp...
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Gülsah Gençer Çelik
Pág. 158 - 165
This paper examines the volatility of the tourism sector in Borsa Istanbul in Turkey, paying special attention to the role of exchange rate exposure in the process. The GARCH, BJR (TARCH) and EGARCH models are employed to estimate the volatility in the s...
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Chia-Lin Chang, Shu-Han Hsu and Michael McAleer
The number of Chinese tourists visiting Taiwan has been closely related to the political relationship across the Taiwan Strait. The occurrence of political events and disasters or accidents have had, and will continue to have, a huge impact on the Taiwan...
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Eduardo Rosas Rojas,Teresa López González
Pág. 349 - 372
This research paper examines the relationship between inflation and inflation uncertainty for the Mexican economy during the period from January 1969 to February 2017. Using SARMA-GARCH models and their extensions (GJR-GARCH-M and E-GARCH-M), the study e...
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Boris Radovanov,Aleksandra Marcikic,Neboj?a Gvozdenovic
Pág. 271 - 278
Because of increasing interest in cryptocurrency investments, there is a need to quantify their variation over time. Therefore, in this paper we try to answer a few important questions related to a time series of cryptocurrencies. According to our goals ...
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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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Alejandro Vargas Sanchez
En el presente documento se desarrollan conceptos y aplicaciones relacionadas con modelos de econometría financiera, el objetivo principal fue la determinación del nivel de volatilidad de los rendimientos reportados por los Fondos de Inversión Abiertos e...
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