Results 41 to 50 of about 5,743 (206)
Journal of Futures Markets, Volume 46, Issue 9, Page 1719-1747, September 2026.ABSTRACT This study examines the efficiency of systemic risk transmission to international oil futures markets by analyzing the dynamic connectedness between three distinct Common Volatility (COVOL) measures: Energy, Asset, and Country, and compares such with five major oil benchmarks.
Thomas Conlon +3 more
wiley +1 more source
Scientific Annals of Economics and BusinessThis study investigates the volatility dynamics of commodity import prices in Republic of Moldova and global Brent crude oil prices, employing advanced econometric models to enhance understanding of risk in small open economies and energy markets ...
Mircea Diavor, Ion Pârțachi
doaj +1 more source
Determinants of the ZAR/USD exchange rate and policy implications: A simultaneous-equation model
Cogent Economics & Finance, 2016 This paper examines the determinants of the South African rand/US dollar (ZAR/USD) exchange rate based on demand and supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the South ...
Yu Hsing
doaj +1 more source
Do political events affect stock return volatility on Indonesian Stock Exchange
Journal of Economics, Business & Accountancy Ventura, 2019 This study has the purpose to examine the effect of political events on the volatility of stocks traded on the Indonesia Stock Exchange (IDX). Furthermore, this study also sees whether such political events also influence the shares that have direct ...
Vina Nurlita, Prima Naomi
doaj +1 more source
Modeling and Forecasting Volatility through EGARCH-X and EGARCH-CJ Models
ZERO: Jurnal Sains, Matematika dan Terapan<p>This study compares the performance of EGARCH-X and EGARCH-CJ models in forecasting financial market volatility using daily TOPIX data (2004–2011). Model parameters were estimated using an efficient Bayesian MCMC framework. The results indicate that the EGARCH-CJ model, which decomposes volatility into continuous and jump components, provides ...
Nugroho, Didit Budi; Universitas Kristen Satya Wacana, Indonesia +2 more
openaire +2 more sources
Australian Economic Papers, Volume 65, Issue 3, Page 222-260, September 2026.ABSTRACT This study examines volatility interconnectedness among selected agricultural commodities and precious/industrial metals, together with oil price uncertainty and global supply chain pressure, over the period January 1998 to June 2024 using a Quantile‐on‐Quantile connectedness framework.
Muhammed Benli, Halil Altıntaş
wiley +1 more source
Expert Systems, Volume 43, Issue 9, September 2026.ABSTRACT Forecasting cryptocurrency prices remains challenging due to extreme volatility, regime‐dependent dynamics, and unstable cross‐asset correlations. Statistical methods such as ARIMA and GARCH assume stationarity and linear dependence structures, making them inadequate for capturing non‐linear temporal patterns in high volatile cryptocurrency ...
Huali Zhao +2 more
wiley +1 more source
A new method for estimating liquidity and stock returns in Indian stock market
China Accounting and Finance ReviewThis study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity return of the Indian equity market. It also examines the effects of illiquidity and decomposed illiquidity on the conditional volatility of the ...
Tapas Kumar Sethy, Naliniprava Tripathy
doaj +1 more source
Ramanujan International Journal of Business and Research, 2017 The public sector banks in India play dominant role in deposit mobilisation and loan advancement to masses due to their capital potency, technological advancement and financial inclusion ideology.
Dr. Vandana Dangi
doaj +1 more source
The Relationship Between Interest Rates and Agricultural Commodity Price Dynamics
Agribusiness, Volume 42, Issue 3, Page 1301-1315, Summer 2026.ABSTRACT The U.S. Federal Reserve has undertaken several interest rate interventions in the past decade. This study explores the relationship between U.S. corn and soybean prices and Federal Reserve monetary policy interventions, in the short and long run.
Zhining Sun, Ani L. Katchova
wiley +1 more source