Results 21 to 30 of about 2,960 (201)
Discrete Dynamics in Nature and Society, Volume 2022, Issue 1, 2022., 2022 Financial markets integration has resulted in high interconnectedness among the BRICS stock markets, which minimizes diversification potentials. This has increased investors’ interest in the financialization of commodities to minimize their portfolio risks.
Gilbert K. Amoako +4 more
wiley +1 more source
Relação entre índice de volatilidade implícita e índice de retorno de ações
Revista Contemporânea de Contabilidade, 2021 O estudo investigou a relação entre os retornos do Ibovespa e do índice de volatilidade implícita IVol-BR. Foi analisado se o nível do IVol-BR tem relação com os retornos contemporâneos e futuros do Ibovespa.
Aparecida de Fátima Ferreira Martins +2 more
doaj +1 more source
The Impact of COVID‐19 Crisis on Stock Markets’ Statistical Complexity
Complexity, Volume 2022, Issue 1, 2022., 2022 The spread of the COVID‐19 pandemic has severely impacted all aspects of social and economic life, including the evolution of stock markets. Thus, we advance a methodological framework suitable for assessing 2020 year‐long shifts in markets’ statistical complexity, and we apply such framework to ten major international developed or emerging stock ...
Bogdan Dima +3 more
wiley +1 more source
Variáveis macroeconômicas: influências no curto e longo prazo sobre o Ibovespa
Geosul, 2023 O trabalho tem por objetivo verificar a influência de determinadas variáveis econômicas sobre o índice Ibovespa, além de verificar as relações de curto e longo prazo no período pós implementação do Sistema de Metas Inflacionárias.
Hulisson Fernando Sanches Nunes +2 more
doaj +1 more source
Computational Intelligence and Neuroscience, Volume 2022, Issue 1, 2022., 2022 Developing reliable equity market models allows investors to make more informed decisions. A trading model can reduce the risks associated with investment and allow traders to choose the best‐paying stocks. However, stock market analysis is complicated with batch processing techniques since stock prices are highly correlated.
Dushmanta Kumar Padhi +5 more
wiley +1 more source
Complexity, Volume 2022, Issue 1, 2022., 2022 We model a mixture of asymmetric and nonlinear bidirectional and unidirectional causality between four macroeconomic variables (exchange rate, GDP, global economic policy uncertainty, and relative CPI) and stock returns of BRICS economies in the frequency‐domain using the information flow theory.
Emmanuel Asafo-Adjei +5 more
wiley +1 more source
A Nonlinear Approach to Quantifying Investor Fear in Stock Markets of BRIC
Mathematical Problems in Engineering, Volume 2022, Issue 1, 2022., 2022 The information flow between BRIC and relevant volatilities constitutes a complex network, which needs comprehensive analysis. We provide a rigorous investigation of information flow among stock markets of BRIC and the US VIX in a frequency‐domain paradigm.
Emmanuel Asafo-Adjei +7 more
wiley +1 more source
Complexity, Volume 2021, Issue 1, 2021., 2021 This paper is concerned with the multivariate stochastic volatility modeling of the stock market. We investigate a DGC‐t‐MSV model to find the historical volatility spillovers between nine markets, including S&P, Nasdaq, SSE, SZSE, HSI, FTSE, CAC, DAX, and Nikkei indices.
Jing Zhang +2 more
wiley +1 more source
Study on the relationship between the IVol-BR and the future returns of the Brazilian stock market,
Revista Contabilidade & Finanças, 2020 In 2015, the Financial Economics Research Center (NEFIN) of the University of São Paulo proposed an implicit volatility index for the Brazilian stock market based on the daily prices of options for the Bovespa index (Ibovespa) and that measures the ...
Paloma Vanni Cainelli +2 more
doaj +2 more sources
Análise de métodos de replicação: o caso IBOVESPA [PDF]
Revista de Administração de Empresas, 2002 Este artigo apresenta e implementa os principais métodos quantitativos para replicar o Índice Bovespa. Os modelos utilizados são: replicação plena, carteira de mínima variância global, Black e minimização quadrática sem venda a descoberto, cujos critérios de análise incluem os parâmetros de tracking error, beta, R-quadrado e semelhança de série em ...
Hua Sheng, Hsia, Saito, Richard
openaire +4 more sources