This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps. We illustrate our method using simulated data and analyze daily stock returns data on S&P500 index and TOPIX. Model comparisons are conducted based...

The purpose of this study is to classify efficient and inefficient stocks using the CAPM method so that investors can make right investment decisions on IDX30 Bisnis-27 Index Indonesia Stock Exchange for 2018-2022 period. data used in research secondary 18 samples. findings study, it be seen greater systematic risk (β), smaller expected rate return E(Ri). This shows there a non-linear or relati...

in this paper using catastrophe theory, we investigate non-smooth changes in tehran stock exchange. stock market crashes bring not only panic among investors, but also in deeper market lead to recession and decrease in consumer's confidence. as catastrophe theory is strong tool in explaining nonlinear phenomena, by applying stochastic cusp catastrophe model we examine sudden change in tehr...

Financial markets all over the world have witnessed growing integration within as well as across boundaries, spurred by deregulation, globalization and advances in information technology. However, none of the researches have investigated the trading profitability of models that employed the financial market integration information as input variables especially in the case of day trading. Moreov...

We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market.

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear, non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent Metropolis-Hastings algorithm or in importance sampling. Our method provides a computationally more effic...

The purpose of this study is to identify and analyze the impact global index, are Dow Jones Index (DJIA), Nikkei 225(N225), Shanghai Composite Indеx (SSEC) Singapore Straits Times (STI) Against Jakarta (JKSE) on Indonesia Stock Exchange (IDX). This type research explanatory with quantitative research. takes all time series data listed Index, 225 Іndеx, for period January 2015 December 2019. sam...

BACKGROUND African tropical rainforests are one of the most important hotspots to look for changes in the upcoming decades when it comes to C storage and release. The focus of studying C dynamics in these systems lies traditionally on living aboveground biomass. Belowground soil organic carbon stocks have received little attention and estimates of the size, controls and distribution of soil org...

storage (e.g., Wayburn et al. 2000 and Perez-Garcia et al. 2004). Urban forests also retain some capacity to store carbon in shade trees and associated landscaping and play an important role in conserving energy in home and business heating and cooling (McPherson and Simpson 1999, Nowak and Crane 2002). Alig (2003) suggests that a mixture of forest-based greenhouse gas reduction strategies nati...