Zobrazeno 1 - 10
of 175
pro vyhledávání: '"Ibragimov Rustam"'
Autor:
Huang Zibin, Ibragimov Rustam
Publikováno v:
Dependence Modeling, Vol 10, Iss 1, Pp 159-176 (2022)
This paper analyzes approximately 100 Gigabytes of raw text data from Twitter with keywords “AAPL,” “S&P 500,” “FTSE100” and “NASDAQ” to explore the relationship between sentiment and the returns and prices on the Apple stock and the
Externí odkaz:
https://doaj.org/article/21086ec896cf42529ffb2ad6127870cf
Autor:
He Siyun, Ibragimov Rustam
Publikováno v:
Dependence Modeling, Vol 10, Iss 1, Pp 191-206 (2022)
The paper provides a comparative empirical study of predictability of cryptocurrency returns and prices using econometrically justified robust inference methods. We present robust econometric analysis of predictive regressions incorporating factors,
Externí odkaz:
https://doaj.org/article/65e60981555c486e94f1a3d00f2fe240
Autor:
Xing, Zeyu, Ibragimov, Rustam
Publikováno v:
Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications
Empirical analyses on income and wealth inequality and those in other fields in economics and finance often face the difficulty that the data is heterogeneous, heavy-tailed or correlated in some unknown fashion. The paper focuses on applications of t
Externí odkaz:
http://arxiv.org/abs/2105.05335
The paper focuses on econometrically justified robust analysis of the effects of the COVID-19 pandemic on financial markets in different countries across the World. It provides the results of robust estimation and inference on predictive regressions
Externí odkaz:
http://arxiv.org/abs/2009.02486
We propose two robust methods for testing hypotheses on unknown parameters of predictive regression models under heterogeneous and persistent volatility as well as endogenous, persistent and/or fat-tailed regressors and errors. The proposed robust te
Externí odkaz:
http://arxiv.org/abs/2006.01191
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in economic and fin
Externí odkaz:
http://arxiv.org/abs/2006.01212
Publikováno v:
In Expert Systems With Applications 1 December 2023 232
Publikováno v:
Journal of Financial Econometrics; Fall2024, Vol. 22 Issue 4, p1075-1097, 23p
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