This paper assesses how market fundamentals affect asset return volatility by drawing on evidence from the U.S. natural gas futures market. One of the novel features of this paper is the use of the deviation of temperatures from normal (weather surprise) as a proxy for demand shocks and a determinant of the conditional volatility of natural gas futures returns. I estimate a GARCH model using da...

In this paper we assess Bayesian estimation and prediction using integrated Laplace approximation (INLA) on a stochastic volatility model. This was performed through a Monte Carlo study with 1000 simulated time series. To evaluate the estimation method, two criteria were considered: the bias and square root of the mean square error (smse). The criteria used for prediction are the one step ahead...

This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China’s currency forwards markets upon other Asian countries hav...

We propose a new modeling approach to option valuation, in which the volatility and skewness of returns are functions of three distinct, but dependent, stochastic components: Two components modeling short and long run volatility risk and a third component capturing shocks to return skewness that are unspanned by shocks to volatility. The model state dynamics follows a matrix jump diffusion, pro...

Norms of Persistent Homology introduced in topological data analysis are seen as indicators system instability, analogous to the changing predictability that is captured financial market uncertainty indexes. This paper demonstrates norms from markets significant explaining uncertainty, whilst macroeconomic only explainable by volatility. Meanwhile, volatility insignificant determination when en...

We present a new, full multivariate framework for modelling the evolution of conditional correlation between financial asset returns. Our approach assumes that a vector of asset returns is shocked by a vector innovation process the covariance matrix of which is timedependent. We then employ an appropriate Cholesky decomposition of the asset covariance matrix which, when transformed using a Sphe...

This study aims to determine the operating cash flow and sales volatility variables on earnings persistence. The purpose of this is how much influence have persistence in Property Real Estate companies listed Indonesia Stock Exchange 2016-2020. type research quantitative. data analysis technique used panel regression with a time series 6 (six) years, namely 2016-2020 period 20 (twenty) accordin...