Výsledky vyhledávání - "S&P 500"

Observable or latent Markov chains for score-driven regime-switching volatility? Autor Blazsek, Szabolcs, Kong, Dejun, Shadoff, Samantha R.

“…We study the statistical and forecasting performances of two regime-switching Beta-t-EGARCH (exponential generalized autoregressive conditional…”
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Dynamical characteristics of global stock markets based on time dependent Tsallis non-extensive statistics and generalized Hurst exponents Autor Antoniades, I.P., Karakatsanis, L.P., Pavlos, E.G.

“…We perform non-linear analysis on stock market indices using time-dependent extended Tsallis statistics. Specifically, we evaluate the q-triplet for particular…”
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Optimal prediction pools Autor Geweke, John, Amisano, Gianni

“…We consider the properties of weighted linear combinations of prediction models, or linear pools, evaluated using the log predictive scoring rule. Although…”
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Spillovers and connectedness between green bond and stock markets in bearish and bullish market scenarios Autor Mensi, Walid, Shafiullah, Muhammad, Vo, Xuan Vinh, Kang, Sang Hoon

“…•This study examines the quantile connectedness between eight green bonds and the S&P 500 index.•Green bonds and the S&P 500 index exhibit stronger…”
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ESG impact on performance of US S&P 500-listed firms Autor Alareeni, Bahaaeddin Ahmed, Hamdan, Allam

“…Purpose This paper aims to investigate whether there are relationships among corporate disclosure of environmental, social and governance (ESG) and firms’…”
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The COVID-19 pandemic and stock liquidity: Evidence from S&P 500 Autor Chebbi, Kaouther, Ammer, Mohammed Abdullah, Hameed, Affan

“…•We empirically investigate the impact of the COVID-19 pandemic on the stock liquidity of S&P 500 firm.•There exists a negative association between COVID-19…”
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Dissecting ESG: Do environmental, social, and governance pillars influence share returns differently? Autor Wijeweera, Albert, Kortt, Michael Alexander, Kim, Namwoon

“…This study examines whether disaggregated components of Environmental, Social, and Governance (ESG) factors, namely, environmental, social, and governance…”
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Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak Autor Hung, Ngo Thai, Vo, Xuan Vinh

“…The Covid-19 crisis has been spread rapidly throughout the world so far. However, how deep and long the turbulence would depend on the success of solutions…”
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Sustainable business model adoption among S&P 500 firms: A longitudinal content analysis study Autor Ritala, Paavo, Huotari, Pontus, Bocken, Nancy, Albareda, Laura, Puumalainen, Kaisu

“…In this study, we examine the diversity of sustainable business models adopted by the largest global corporations — those listed in the S&P 500 index — over…”
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Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday Autor Choi, Sun-Yong

“…We examine the volatility spillovers among various industries during the COVID-19 pandemic period. We measure volatility spillovers by defining the volatility…”
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Forecasting realized volatility in a changing world: A dynamic model averaging approach Autor Wang, Yudong, Ma, Feng, Wei, Yu, Wu, Chongfeng

“…In this study, we forecast the realized volatility of the S&P 500 index using the heterogeneous autoregressive model for realized volatility (HAR-RV) and its…”
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The impact of carbon disclosure and carbon emissions intensity on firms' idiosyncratic volatility Autor Perera, Kasun, Kuruppuarachchi, Duminda, Kumarasinghe, Sriyalatha, Suleman, Muhammad Tahir

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On randomization of affine diffusion processes with application to pricing of options on VIX and S&P 500 Autor Grzelak, Lech A.

“…The class of Affine (Jump) Diffusion [8] (AD) has, due to its closed form characteristic function (ChF), gained tremendous popularity among practitioners and…”
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Predicting prices of the US and G7 stock indices in uncertain times: Evidence from the application of a hybrid neural network Autor Bouteska, Ahmed, Sharif, Taimur, Hajek, Petr, Abedin, Mohammad Zoynul

“…•We apply a hybrid artificial neural network (ANN) approach.•We predict the US and G7 stock index prices during 2017–2022 including the Covid-19 and…”
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets Autor Bardgett, Chris, Gourier, Elise, Leippold, Markus

“…We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX…”
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A semi-heterogeneous ensemble forecasting method for stock returns based on sentiment analysis Autor Zhang, Xiao, Liu, Peide, Feng, Jing

“…With the growing influence of investor sentiment on market dynamics, sentiment analysis has emerged as an effective tool for enhancing financial forecasting…”
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Recurrent neural networks for hierarchical time series forecasting: An application to the S&P 500 market value Autor Munyao, Jackson Ndoto, Oluoch, Lillian Achola, Iftikhar, Hasnain, Rodrigues, Paulo Canas

“…This paper investigates the use of Recurrent Neural Networks (RNNs), specifically Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU) architectures,…”
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Within-regime volatility dynamics for observable- and Markov-switching score-driven models Autor Blazsek, Szabolcs, Kong, Dejun, Shadoff, Samantha R.

“…We study the novel Markov-switching (MS) Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model, using within-regime…”
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From waste to wealth: How sustainable supply chain management shapes the link between waste management and investment efficiency? Autor Ben Arfa, Nouha, Chebbi, Kaouther, Ammari, Aymen

“…Despite growing corporate sustainability initiatives, the direct relationship between waste management practices and investment efficiency remains largely…”
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Enhancing stock market Forecasting: A hybrid model for accurate prediction of S&P 500 and CSI 300 future prices Autor Ge, Qing

“…This paper investigates the challenging domain of stock market prediction, a significant aspect of financial markets. It focuses on developing predictive…”
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