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Dominik Metelski and Janusz Sobieraj
Decentralized finance (DeFi) protocols use blockchain-based tools to mimic banking, investment and trading solutions and provide a viable framework that creates incentives and conditions for the development of an alternative financial services market. In...
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Nassar S. Al-Nassar and Beljid Makram
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Ret...
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Emmanuel Senyo Fianu
Because of the non-linearity inherent in energy commodity prices, traditional mono-scale smoothing methodologies cannot accommodate their unique properties. From this viewpoint, we propose an extended mode decomposition method useful for the time-frequen...
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Apostolos Ampountolas
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of...
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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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