Cross-correlation asymmetries and causal relationships between stock and market risk. [PDF]
PLoS ONE, 2014 We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-
Stanislav S Borysov +1 more
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Historical Perspectives in Volatility Forecasting Methods with Machine Learning
RisksVolatility forecasting for financial institutions plays a pivotal role across a wide range of domains, such as risk management, option pricing, and market making.
Zhiang Qiu +3 more
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A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model
Entropy, 2021 Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing.
Claudiu Vințe +2 more
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Interest rate volatility in historical perspective [PDF]
, 1983 Harvey Rosenblum, Steven Strongin
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Factors affecting stock return volatility in the banking sector in the euro zone
Journal of Economics and Management, 2020 Aim/purpose – The purpose of this paper is to examine the influence of internal and external historical determinants on the volatility of banks’ stock returns in the euro zone.
Niewińska Katarzyna
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Financial Innovation, 2023 Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the Moscow Exchange Market during the period 2005–2013, we analyze the impact of trading hours ...
Michael Frömmel, Eyup Kadioglu
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The Deep Historical Roots of Macroeconomic Volatility [PDF]
Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute Working Papers, 2016 We present cross‐country evidence that a country's macroeconomic volatility, measured either by the standard deviation of output growth or the occurrence of trend‐growth breaks, is significantly affected by the country's historical variables. In particular, countries with longer histories of state‐level political institutions experience less ...
Tang, Sam Hak Kan, Leung, Charles Ka Yui
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Forecasting security's volatility using low-frequency historical data, high-frequency historical data and option-implied volatility [PDF]
, 2020 Low-frequency historical data, high-frequency historical data and option data are three major sources, which can be used to forecast the underlying security's volatility. In this paper, we propose two econometric models, which integrate three information sources.
Cui, Xiangyu +3 more
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Determinants of stock price volatility: Evidence from cement industry [PDF]
Accounting, 2019 This paper presents a survey on the effect of corporate dividend payout policy on stock price volatility. The primary objective of this study is to examine the impact of dividend payout ratio on the stock price volatility in Pakistan Stock Exchange.
Arshad Mehmood +2 more
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The Impact of Determinants on the Volatility of Banking Sector Stock Returns in Europe
Problemy Zarządzania, 2019 The aim of the paper is to examine the impact of macroeconomic determinants on the volatility of banking sector stock returns in Europe. The research was conducted for 182 banks in 26 European countries in which banks are listed in the stock market.
Katarzyna Niewińska
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