When the market got the first dose: Stock volatility and vaccination campaign in COVID-19 period. [PDF]
Heliyon, 2023 To BCN, Nguyen BKQ, Nguyen TVT.
europepmc +1 more source
Does the weather affect stock market volatility? [PDF]
This paper investigates the empirical association between stock market volatility and investor mood-proxies related to the weather (cloudiness, temperature and precipitation) and the environment (nighttime length).
Daskalakis, George +2 more
core +1 more source
The GJR-GARCH and EGARCH option pricing models which incorporate the Piterbarg methodology [PDF]
Advances in Economics, Business and Management Research, 2017 Sven T. von Boetticher +1 more
openaire +1 more source
COVID-19 and stock returns: Evidence from the Markov switching dependence approach. [PDF]
Res Int Bus Finance, 2023 Bouteska A, Sharif T, Abedin MZ.
europepmc +1 more source
A Neural Stochastic Volatility Model
, 2018 In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time series analysis ...
Luo, Rui +3 more
core +1 more source
The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets [PDF]
This paper studies the month of the year effect, where January effect presents positive and the highest returns of the other months of the year. In order to investigate the specific calendar effect in global level, fifty five stock market indices from ...
Giovanis, Eleftherios
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A Framework for Cryptocurrency Volatility Prediction Based on Cross-Correlation Analysis Using Deep Learning [PDF]
International Journal of Information and Communication Technology ResearchThe popularity of cryptocurrencies has intensified the need for accurate volatility prediction models. This research proposes a novel approach to enhance conditional variance predictions for cryptocurrencies.
Masoud Omidvari Abarghouie +3 more
doaj
Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk. [PDF]
Resour Policy, 2022 Syuhada K +4 more
europepmc +1 more source
Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets [PDF]
This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ...
Martin T. Bohl +2 more
core
A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model. [PDF]
Ann Oper Res, 2023 Song M, Sui Z, Zhao X.
europepmc +1 more source