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In order to cope with the stylized facts of financial time series, many models have been proposed inside the GARCH family (e.g. EGARCH, GJR-GARCH, QGARCH, FIGARCH, LSTGARCH) and the stochastic volatility models (e.g. SV). Generally, all these models tend to produce very similar results as...
Persistent link: https://www.econbiz.de/10005612403
This paper examines the relationship between renewable energy consumption and economic growth in Brazil, in the COVID-19 pandemic. Using an Artificial Neural Networks (ANNs) experiment in Machine Learning, we tried to verify if a more intensive use of renewable energy could generate a positive...
Persistent link: https://www.econbiz.de/10013245397
Reduced exchange rate volatility and higher and less heterogeneous quality of institutional rules and macroeconomic policies are two of the main (anticipated and concurring) effects expected from a currency union.In this paper we measure the magnitude of these two effects on the Euro area...
Persistent link: https://www.econbiz.de/10012147914
Empirical analysis of financial markets has shown number of stylized facts such as heavy tails or volatility bursts which are difficult to explain in terms of evolution of fundamental economic variables. Indeed the non-Gaussian, non-stable character of empirical distributions, such as excess...
Persistent link: https://www.econbiz.de/10012709954
By assuming that a large share of investors (which we call fundamentalists) follows a fundamental approach to stock picking, we build a discounted cash flow (DCF) model and test on a sample of high-tech stocks whether the strong and the weak version of the model are supported by data from the US...
Persistent link: https://www.econbiz.de/10012710230
he concept of Green Finance is mainly related to the notion of sustainable (ethical) finance. A specific analysis based on the use of a nonparametric model and referred to the financial intermediation sector, through a sample of more than 500 American intermediaries in the period 2006-2009, is...
Persistent link: https://www.econbiz.de/10009386656
This paper implements a methodology that exploits firms and households' optimality conditions to measure money laundering for the Italian economy. This approach, first implemented by Ingram, Kocherlakota, and Savin (1997) to the household production sector, and by Busato, Chiarini and Di Maro...
Persistent link: https://www.econbiz.de/10014214935
Reduced exchange rate volatility and higher and less heterogeneous quality of institutional rules and macroeconomic policies are two of the main (anticipated and concurring) effects expected from a currency union. In this paper we measure the magnitude of these two effects on the Euro area...
Persistent link: https://www.econbiz.de/10014068083