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Aswin Rivai
Pág. 231 - 236
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Maashele Kholofelo Metwane and Daniel Maposa
Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-sha...
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Andrey Alexandrovich Mazur, Viktor Pavlovich Chelomin, Elena Vladimirovna Zhuravel, Sergey Petrovich Kukla, Valentina Vladimirovna Slobodskova and Nadezda Vladimirovna Dovzhenko
Microplastic pollution appears to be one of the major environmental problems in the world today, and researchers have been paying special attention to the study of the impact of microplastics on biota. In this article, we studied the short-term effects o...
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José Antonio Morales Castro
Pág. 43 - 56
The article aims to analyze the behavior of the solvency rates of companies with monetary mismatches of the industrial sector of the Mexican Stock Exchange (BMV) during the exchange variations of 2007-2017. Six financial multiples were used to measure so...
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Nazzareno Diodato, Lelys Bravo De Guenni, Mariangel Garcia and Gianni Bellocchi
Severity of drought in California (U.S.) varies from year-to-year and is highly influenced by precipitation in winter months, causing billion-dollar events in single drought years. Improved understanding of the variability of drought on decadal and longe...
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David Suda and Luke Spiteri
We implement hidden Markov models (HMMs) and hidden semi-Markov models (HSMMs) on Bitcoin/US dollar (BTC/USD) with the aim of market phase detection. We make analogous comparisons to Standard and Poor?s 500 (S and P 500), a benchmark traditional stock in...
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Guglielmo Maria Caporale, Luis Gil-Alana and Tommaso Trani
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of ...
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Jia Liao, Yu Shi and Xiangyun Xu
Using DCC-GARCH model, this paper finds that, since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of ?very weak correlation?negative correlation?enhanced negative correlation?weakening ne...
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Grigoris Giannarakis,Alexandros Garefalakis,Christos Lemonakis,Nikolaos Sariannidis
Pág. 556 - 561
The scope of this study is to address the impact of stock index returns on exchange rate. In particular, it aims to fill the literature gap regarding the determinant role of socially responsible companies on the exchange rate Trade Weighted U.S. Dollar I...
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Memet Agustiar,Fariastuti Djafar,Afrizal Afrizal
Pág. 51 - 56
This paper constructs an Optimum Currency Area (OCA) Index by using the gold price as a nominal anchor and substitute for the US Dollar. The use of gold Dinar is in line with the spirit for implementing Sunnah money (gold Dinar). The method used for esti...
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