111 results on '"c58"'
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2. Dynamic Interlinkages Between Precious Metal, Exchange Rate and Crude Oil: Evidence from an Extended TVP‑VAR Analysis
3. ESG crypto coins: speculative assets, or, the future of green money?
4. Asymmetries in risk spillovers between currency and stock markets: Evidence from the CoVaR-copula approach
5. Solar Weather Dynamics and the US Economy: A Comprehensive GVAR Perspective
6. Do asymmetric oil shocks impact gold and Bitcoin returns symmetrically? A comparison between the COVID-19 pandemic and the Russo-Ukrainian war
7. Spillover effects and network connectedness among stock markets: evidence from the U.S. and Asia
8. Is the Price of Ether Driven by Demand or Pure Speculation?
9. Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets
10. Stock Markets Cycles and Macroeconomic Dynamics
11. How Micro Data Improve the Estimation of Household Credit Risk Within the Macro Stress Testing Framework
12. High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests
13. Benchmark Analysis of Machine Learning Methods to Forecast the U.S. Annual Inflation Rate During a High-Decile Inflation Period
14. Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets
15. Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model
16. Portfolio Optimization During the COVID-19 Epidemic: Based on an Improved QBAS Algorithm and a Dynamic Mixed Frequency Model
17. Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data
18. Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis
19. Exploring the Dynamics of Equity and Cryptocurrency Markets: Fresh Evidence from the Russia–Ukraine War
20. Volatility transmissions and connectivity among metal and energy commodities: a network-econometric analysis
21. Application of Supervised Machine Learning Techniques to Forecast the COVID-19 U.S. Recession and Stock Market Crash
22. Tail risk connectedness in clean energy and oil financial market
23. Unlocking the black box: Non-parametric option pricing before and during COVID-19
24. Upward and Downward Multifractality and Efficiency of Chinese and Hong Kong Stock Markets
25. Determinants of Nonperforming Loans: A Global Data Analysis
26. The two-component Beta-t-QVAR-M-lev: a new forecasting model
27. Volatility spillovers between oil and financial markets during economic and financial crises: A dynamic approach
28. A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting
29. Determinants of bail-in debt yields in the EU banking sector: a multi-country approach with idiosyncratic factors
30. A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration
31. Higher moment connectedness of cryptocurrencies: a time-frequency approach
32. Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets
33. Forecasting portfolio variance: a new decomposition approach
34. The effectiveness of ultra-loose monetary policy in a high inflation economy: a time-varying causality analysis for Turkey
35. Median-adaptive portfolios: a minimum criteria approach to asset allocation
36. Solar events and the US energy sector: a novel sectoral spillover GVAR approach introducing indirect GIRFs (IGIRF)
37. Securitization of pandemic risk by using coronabond
38. Financial development, economic growth, globalisation and environmental quality in BRICS economies: evidence from ARDL bounds test approach
39. Modeling Tail Dependence Using Stochastic Volatility Model
40. Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall
41. Carbon emissions and sustainability in Covid-19’s waves: evidence from a two-state dynamic Markov-switching regression (MSR) model
42. Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis
43. Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints
44. An explorative analysis of sentiment impact on S&P 500 components returns, volatility and downside risk
45. Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?
46. Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
47. Optimal carry trade portfolio choice under regime shifts
48. Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo
49. Forward Interest Rates as Predictors of Future US Spot Rates Before and After the 2008 Financial Crisis
50. Oil price shocks and the term structure of the US yield curve: a time–frequency analysis of spillovers and risk transmission
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