Results 31 to 40 of about 190,252 (236)
Applied Mathematics in Science and Engineering, 2023 The forward-looking policy is useful for joint decision-making between public and monetary authorities. The study calculates the monetary policy transparency index, inflation expectations, and their volatility spillover effects at a data-driven angle ...
Qizhi He, Mati ur Rahman, Cuihua Xie
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Forward-looking disclosure and corporate reputation as mechanisms to reduce stock return volatility
Revista de Contabilidad: Spanish Accounting Review, 2019 The purpose of this paper is to investigate whether forward-looking disclosures and corporate reputation lead to a reduction in stock return volatility. This study measures financial forward-looking information, by conducting a content analysis of annual
Francisco Bravo Urquiza
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A possible interpretation of financial markets affected by dark volatility
Communications in Analysis and Mechanics, 2023 The aim of this paper is to use a special type of Einstein warped product manifolds recently introduced, the so-called PNDP-manifolds, for the differential geometric study, by focusing on some aspects related to dark field in financial market such as the
Richard Pinčák +5 more
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OFFSHORE AND ONSHORE IDR MARKET: AN EVIDENCE ON INFORMATION SPILLOVER
Buletin Ekonomi Moneter dan Perbankan, 2012 This paper investigates the information transmission between off-shore and on-shore Rupiah currency markets Indonesian. We found the evidence of persistent volatility in all IDR/USD markets. Using EGARCH model on daily data for the period of 2008 - 2011,
Yayat Cadarajat, Alexander Lubis
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Volatility spillover and hedging strategies between the European carbon emissions and energy markets
Energy Strategy Reviews, 2023 Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration.
Jian Liu +3 more
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OFFSHORE AND ONSHORE IDR MARKET: EVIDENCE ON INFORMATION SPILLOVER
Buletin Ekonomi Moneter dan Perbankan, 2012 This paper investigates the information transmission between off-shore and on-shore Rupiah currency markets Indonesian. We found the evidence of persistent volatility in all IDR/USD markets. Using EGARCH model on daily data for the period of 2008 - 2011,
Yayat Cadarajat, Alexander Lubis
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Volatility Transmission and Volatility Impulse Response Functions in European Electricity Forward Markets [PDF]
SSRN Electronic Journal, 2008 Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function (VIRF) to quantify ...
Benoît Sévi +2 more
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Bonds with volatilities proportional to forward rates [PDF]
, 2009 The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and non-existence of the solution in the class of bounded fields are formulated.
Michal Baran, Jerzy Zabczyk
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EnergiesAccurately forecasting crude oil prices is crucial due to its vital role in the industrial economy. In this study, we explored the multifaceted impact of various financial, economic, and political factors on the forecasting of crude oil forward prices ...
Hyeon-Seok Kim +2 more
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Energies, 2022 In this empirical study, multifactor stochastic volatility models for the financial Nordic/Baltic power markets are developed, implemented, and analyzed.
Per Bjarte Solibakke
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