Zobrazeno 1 - 10
of 56
pro vyhledávání: '"Edoardo OTRANTO"'
Publikováno v:
Data in Brief, Vol 10, Iss C, Pp 421-425 (2017)
This article includes a unique data set of a balanced daily (Monday, Tuesday and Wednesday) for oil and natural gas volatility and the oil rich economies’ stock markets for Saudi Arabia, Qatar, Kuwait, Abu Dhabi, Dubai, Bahrain and Oman, using dail
Externí odkaz:
https://doaj.org/article/88231378bbff4246b7f1fea85471ee6b
Publikováno v:
Journal of the Royal Statistical Society Series C: Applied Statistics. 71:1245-1265
Taking the European Central Bank unconventional policies as a reference, we suggest a class of multiplicative error models (MEMs) tailored to analyse the impact such policies have on stock market volatility. The new set of models, called MEM with asy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::56f798ab2a7dd8bf3a535a6779b4c173
https://doi.org/10.1111/rssc.12574
https://doi.org/10.1111/rssc.12574
Publikováno v:
Models for Data Analysis ISBN: 9783031158841
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd4d47528f39e151afbfac468bc88c09
https://doi.org/10.1007/978-3-031-15885-8_7
https://doi.org/10.1007/978-3-031-15885-8_7
Publikováno v:
International Journal of Forecasting. 37:44-57
In this paper, we suggest how to handle the issue of the heteroskedasticity of measurement errors when specifying dynamic models for the conditional expectation of realized variance. We show that either adding a GARCH correction within an asymmetric
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c6af4b581ac90d405850f925af400a70
https://doi.org/10.1016/j.ijforecast.2020.02.009
https://doi.org/10.1016/j.ijforecast.2020.02.009
Publikováno v:
The Journal of Risk Finance. 21:423-443
Purpose This study aims to propose a non-linear model to describe the effect of macroeconomic shocks on delinquency rates of three kinds of bank loans. Indeed, a wealth of literature has recognized significant evidence of the linkage between macro co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bb9587bd1922a54ab9fb9ea2da0ca696
https://doi.org/10.1108/jrf-10-2019-0202
https://doi.org/10.1108/jrf-10-2019-0202
Autor:
Luc Bauwens, Edoardo Otranto
Publikováno v:
Journal of Financial Econometrics, p. nbac007 (2022)
Time series of realized covariance matrices can be modeled in the conditional autoregressive Wishart model family via dynamic correlations or via dynamic covariances. Extended parameterizations of these models are proposed, which imply a specific and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2cbf8abd00ea468df2c2bfdc15bf767c
http://hdl.handle.net/11570/3224598
http://hdl.handle.net/11570/3224598
Publikováno v:
Journal of Risk and Financial Management
Volume 14
Issue 1
Journal of Risk and Financial Management, Vol 14, Iss 21, p 21 (2021)
Volume 14
Issue 1
Journal of Risk and Financial Management, Vol 14, Iss 21, p 21 (2021)
Several studies have explored the linkage between non-performing loans and major macroeconomic indicators, using a wide variety of methodologies, sometimes with different results. This occurs, we argue, because these relationships are generally deriv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::88c029c19719d972982a944905f2910c
http://hdl.handle.net/11570/3183068
http://hdl.handle.net/11570/3183068
Publikováno v:
International Journal of Environmental Research and Public Health
Volume 18
Issue 4
International Journal of Environmental Research and Public Health, Vol 18, Iss 2204, p 2204 (2021)
RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname
Volume 18
Issue 4
International Journal of Environmental Research and Public Health, Vol 18, Iss 2204, p 2204 (2021)
RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname
[EN] The parametric model introduced by Lee and Carter in 1992 for modeling mortality rates in the USA was a seminal development in forecasting life expectancies and has been widely used since then. Different extensions of this model, using different
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01a040e7ef2c0fd0aa8c111c74cbf27c
http://hdl.handle.net/11570/3192975
http://hdl.handle.net/11570/3192975
In this paper we propose a robust fuzzy clustering model, the STAR-based Fuzzy C-Medoids Clustering model with Noise Cluster, to define territorial partitions of the European regions (NUTS2) according to the workplaces mobility trends for places of w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5fa975279b051fde4849f006241a853c
http://hdl.handle.net/11573/1567735
http://hdl.handle.net/11573/1567735
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, including stock market volatility. In order to evaluate such effects, by incl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4a39575ce3df54caa0d8b24c7b0921aa
http://arxiv.org/abs/2011.14094
http://arxiv.org/abs/2011.14094