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Yaovarate Chaovanapoonphol, Jittima Singvejsakul and Aree Wiboonpongse
Price volatility is a significant risk factor affecting the income of farmers in the agriculture sector, especially for international trade in products such as coffee in Thailand. This study proposes an alternative model to analyze the major factors in t...
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Nassar S. Al-Nassar
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end,...
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Shahid Raza, Sun Baiqing, Pwint Kay-Khine and Muhammad Ali Kemal
The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simpl...
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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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Pág. 1 - 33
Modeling and forecasting volatility have gained much interest among researchers as the use of volatility became widespread in financial data analysis. Several studies have been carried out to model stock market volatility in various countries. This paper...
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Nassar S. Al-Nassar and Beljid Makram
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Ret...
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Yuruixian Zhang, Wei Chong Choo, Jen Sim Ho and Cheong Kin Wan
Tourism forecasting has garnered considerable interest. However, integrating tourism forecasting with volatility is significantly less typical. This study investigates the performance of both the single models and their combinations for forecasting the v...
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Theophilos Papadimitriou, Periklis Gogas and Athanasios Fotios Athanasiou
This study aims to forecast extreme fluctuations of Bitcoin returns. Bitcoin is the first decentralized and the largest, in terms of capitalization, cryptocurrency. A well-timed and precise forecast of extreme changes in Bitcoin returns is key to market ...
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Flavius Darie
Pág. 103 - 117
This study investigates whether different specifications of univariate GARCH models can usefully forecast volatility on the foreign exchange market. The study uses only forecasts from an asymmetric GARCH model, namely Exponential GARCH (EGARCH) for CHF/R...
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