Smart grid architecture model for control, optimization and data analytics of future power networks with more renewable energy
This paper describes a generic methodology to develop mathematical and computational
models of different components of the smart grid architecture model (SGAM). The SGAM …
models of different components of the smart grid architecture model (SGAM). The SGAM …
Multivariate GARCH models: a survey
Multivariate GARCH models: a survey - Bauwens - 2006 - Journal of Applied Econometrics -
Wiley Online Library Skip to Article Content Skip to Article Information Wiley Online Library …
Wiley Online Library Skip to Article Content Skip to Article Information Wiley Online Library …
[HTML][HTML] The impact of the Russian-Ukrainian war on global financial markets
Abstract On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the
response of European and global stock markets alongside a representative sample of …
response of European and global stock markets alongside a representative sample of …
[HTML][HTML] COVID-19 and the United States financial markets' volatility
CT Albulescu - Finance research letters, 2021 - Elsevier
We empirically investigate the effect of the official announcements regarding the COVID-19
new cases of infection and fatality ratio, on the financial markets volatility in the United States …
new cases of infection and fatality ratio, on the financial markets volatility in the United States …
Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models
HY Kim, CH Won - Expert Systems with Applications, 2018 - Elsevier
Volatility plays crucial roles in financial markets, such as in derivative pricing, portfolio risk
management, and hedging strategies. Therefore, accurate prediction of volatility is critical …
management, and hedging strategies. Therefore, accurate prediction of volatility is critical …
COVID-19 fear and volatility index movements: empirical insights from ASEAN stock markets
M Sadiq, CC Hsu, YQ Zhang, F Chien - Environmental Science and …, 2021 - Springer
This research aims to look into the effect of COVID-19 on emerging stock markets in seven of
the Association of Southeast Asian Nations'(ASEAN-7) member countries from March 21 …
the Association of Southeast Asian Nations'(ASEAN-7) member countries from March 21 …
Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting
The launch of the China's Shanghai International Energy Exchange (INE) oil futures market
in 2018 has shed new light on the role of China in international crude oil market …
in 2018 has shed new light on the role of China in international crude oil market …
US monetary policy and the global financial cycle
S Miranda-Agrippino, H Rey - The Review of Economic Studies, 2020 - academic.oup.com
US monetary policy shocks induce comovements in the international financial variables that
characterize the “Global Financial Cycle.” A single global factor that explains an important …
characterize the “Global Financial Cycle.” A single global factor that explains an important …
What causes the attention of Bitcoin?
A Urquhart - Economics Letters, 2018 - Elsevier
Bitcoin has received enormous attention both by the media and investors alike. But why has
Bitcoin received such attention? This paper answers this question by examining the …
Bitcoin received such attention? This paper answers this question by examining the …
The time variation in risk appetite and uncertainty
We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds,
featuring time variation in both risk aversion and economic uncertainty. The joint dynamics …
featuring time variation in both risk aversion and economic uncertainty. The joint dynamics …