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Efthymios Stathakis, Theophilos Papadimitriou, Periklis Gogas
Pág. 65 - 87
Electricity markets are considered to be the most volatile amongst commodity markets. The non-storability of electricity and the need for instantaneous balancing of demand and supply can often cause extreme short-lived fluctuations in electricity prices....
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Efthymios Stathakis, Theophilos Papadimitriou, Periklis Gogas
Electricity markets are considered to be the most volatile amongst commodity markets. The non-storability of electricity and the need for instantaneous balancing of demand and supply can often cause extreme short-lived fluctuations in electricity prices....
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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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Kaijian He, Kin Keung Lai and Guocheng Xiang
In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical m...
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Loc Dong Truong and H. Swint Friday
This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE). Daily returns of the VN30-Index for the period 6 February 2012 through 31 December 2019 are ...
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Vina Nurlita,Prima Naomi
Pág. 29 - 38
This study has the purpose to examine the effect of political events on the volatility of stocks traded on the Indonesia Stock Exchange (IDX). Furthermore, this study also sees whether such political events also influence the shares that have direct link...
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Charles Osondu Manasseh,Jonathan Emenike Ogbuabor,Obiorah K Obinna
Pág. 1599 - 1607
This study examines volatility and commodity price dynamics in Nigeria. This was estimated with the GARCH and Exponential Generalized Autoregressive Conditional Heteroschedasticity (EGARCH), while Granger Causality test was used to examine the causality ...
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Yu Hsing
Pág. 12 - 18
This paper examines the effects of selected macroeconomic variables on the stock market index in South Africa. The exponential GARCH (Nelson, 1991) model is applied. It finds that South Africa?s stock market index is positively influenced by the growth r...
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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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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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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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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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