Search Results - subject:"Volatilität"

Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm

Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28

We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals, whereas TR is a process...

Persistent link: https://www.econbiz.de/10014541693

Volatility integration of crude oil, gold, and interest rates on the exchange rate : DCC GARCH and BEKK GARCH applications

Rastogi, Shailesh; Kanoujiya, Jagjeevan; Doifode, Adesh - In: Cogent business & management 11 (2024) 1, pp. 1-17

Literature is replete with evidence of market integration between crude oil, gold and interest rates (IR) with the exchange rate (ER) due to varied reasons. However, it is observed that the explored market integration is limited for the price and return volatilities. Bivariate GARCH models...

Persistent link: https://www.econbiz.de/10014543455

Oil price fluctuations and US banks

Gelain, Paolo; Lorusso, Marco; Zaman, Saeed - 2024

Persistent link: https://www.econbiz.de/10014543877

Seeking a shock haven : Hedging extreme upward oil price changes

Conlon, Thomas; Corbet, Shaen; Hou, Yang; Hu, Yang; … - In: International review of financial analysis 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014543955

Assessing the crypto market stability after the FTX collapse : a study of high frequency volatility and connectedness

Esparcia, Carlos; Escribano, Ana; Jareño, Francisco - In: International review of financial analysis 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014543961

The impact of oil shocks on the stock market

Castro, César; Jiménez-Rodríguez, Rebeca - In: Global finance journal 60 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014545350

(Structural) VAR models with ignored changes in mean and volatility

Demetrescu, Matei; Salish, Nazarii - In: International journal of forecasting 40 (2024) 2, pp. 840-854

Persistent link: https://www.econbiz.de/10014547211

A comparison of machine learning methods for predicting the direction of the US stock market on the basis of volatility indices

Campisi, Giovanni; Muzzioli, Silvia; De Baets, Bernard - In: International journal of forecasting 40 (2024) 3, pp. 869-880

Persistent link: https://www.econbiz.de/10014547222

A False Discovery Rate approach to optimal volatility forecasting model selection

Hassanniakalager, Arman; Baker, Paul L.; Platanakis, … - In: International journal of forecasting 40 (2024) 3, pp. 881-902

Persistent link: https://www.econbiz.de/10014547223

Should I open to forecast? : implications from a multi-country unobserved components model with sparse factor stochastic volatility

Wu, Ping - In: International journal of forecasting 40 (2024) 3, pp. 903-917

Persistent link: https://www.econbiz.de/10014547224