Results 61 to 70 of about 3,891 (206)
International Studies of Economics, Volume 20, Issue 4, Page 390-409, December 2025.ABSTRACT This study examines the impact of climate policy uncertainty (CPU) on world energy stock returns. Evidence shows that a rise in CPU causes stocks to plummet in individual countries, regions, and the world energy stock markets. The negative effects are also exhibited in climate induced risks, the covariance between a change in CPU and equity ...
Thomas C. Chiang
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Financialisation of the Commodity Markets. Conclusions from the VARX DCC GARCH [PDF]
SSRN Electronic Journal, 2015 The global economy is highly dependent on commodity prices, which are, by and large, the outcome of market-specific supply and demand fundamentals. As a result, driven by different determinants, financial assets and commodity prices should be negligibly correlated.
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Journal of Futures Markets, Volume 45, Issue 11, Page 2166-2185, November 2025.ABSTRACT Our research is one of the first to provide evidence to distinguish between two types of uncertainty: the volatility (VOL) risk and the volatility‐of‐volatility (VOV) risk. We outline a theoretical framework of state‐dependent correlations between the S&P 500 stock index and volatility index (VIX).
Leon Li, Carl R. Chen
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, 2021 When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. Hence it is natural to extend from a univariate GARCH model to a multivariate GARCH model when examining portfolio ...
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Connectedness Analysis And Investment Strategy Between Stablecoins And International Stock Indices
Jurnal ManajemenThis research analyzes the dynamic connectedness between fiat-based stablecoins represented by USDC, USDP, and USDT, and gold-based stablecoins represented by DGX and GLC with indices international stocks represented by S&P500, STOXX50, Nikkei225 ...
Ika Maradjabessy, Zaafri Ananto Husodo
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Revista de Economia e Sociologia Rural, 2019 Resumo Trabalhos recentes têm mostrado uma falta de integração entre o mercado do produtor e o varejo na cadeia produtiva da carne suína. Uma solução para amenizar esse entrave poderia ser feito por meio da estratégia de hedge dinâmico com o modelo Garch-
Jovani Patias +4 more
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Global Spillovers Between Sustainable and Traditional ETFs: Crisis Dynamics and Policy Implications
Global Policy, Volume 16, Issue 5, Page 862-873, November 2025.ABSTRACT This paper examines the interconnections between segments of exchange‐traded funds (ETFs), bridging the traditional financial perspective with the sustainability‐driven approach based on the Sustainable Development Goals (SDGs) outlined in Agenda 2030. The analysis is endogenous, focusing on the shocks that emerge within the system composed of
Vítor Manuel de Sousa Gabriel +4 more
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European Financial Management, Volume 31, Issue 5, Page 1742-1770, November 2025.ABSTRACT This paper investigates the dynamic transition of the Chinese stock market towards a just and sustainable future by examining the tail risk connectedness and frequency‐quantile dependence between a series of sustainability indices and Chinese stock market sectors. Employing the novel TVP‐VAR‐CAViaR connectedness method and the wavelet quantile
Hongjun Zeng +3 more
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Volume and volatility adjusted l-var with dcc-garch modeling
, 2020 Sabit spread, endojen ve eksojen spread teknikleri; Riske Maruz Likidite Değeri'ni (L-VaR) elde etmek için kullanılan bid-ask spread ile birlikte piyasa risk sonuçlarını belirler. Ancak likitide riskin bu geleneksel yöntemleri 2008 krizinden sonra L-VaR tahmin eksikliklerinden dolayı eleştirilmiştir.
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