Results 71 to 80 of about 3,903 (204)
DCC-Garch Models Using Islamic Market and European Market Indices
Islamic Banking and Finance Review, 2017 The last financial crisis (2007-2008) raises the question of how European stock shocks are distributed and transmitted from developed stock markets to Islamic stock markets. More precisely, the problem related to Islamic finance or any other alternative finance is, whether the shocks to the volatilities in the asset returns constitute substitute or ...
openaire +1 more source
Dynamic co-movements of stock market returns, implied volatility and policy uncertainty [PDF]
, 2013 We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.
Antonakakis, N. +2 more
core +1 more source
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
wiley +1 more source
The role of the information set for forecasting - with applications to risk management [PDF]
, 2014 Predictions are issued on the basis of certain information. If the forecasting mechanisms are correctly specified, a larger amount of available information should lead to better forecasts.
Eulert, Matthias, Holzmann, Hajo
core +1 more source
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
wiley +1 more source
Revista de Métodos Cuantitativos para la Economía y la Empresa, 2019 La tasa de cambio está influenciada por múltiples factores macroeconómicos nacionales e internacionales, lo que genera altos niveles de incertidumbre.
Maya Sierra, Giuliana +1 more
doaj
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
wiley +1 more source
Portfolio Optimization under Solvency Constraints: A Dynamical Approach [PDF]
, 2014 We develop portfolio optimization problems for a nonlife insurance company seeking to find the minimum capital required that simultaneously satisfies solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider
Asimit V.A. +5 more
core +1 more source
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
wiley +1 more source
Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with DCC-GARCH Model [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran.
Firouz Fallahi +3 more
doaj