Jump test and Estimate the Size and Probability of Jump in the Stock Market Using Stochastic Volatility Models [PDF]
مدلسازی اقتصادسنجی, 2022 New findings show that volatility models with jump component are more successful than without jumping models in modeling stylized facts about the stock market.
Alireza Najjarpour, Mojtaba Rostami
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Testing for the Presence of the Leverage Effect without Estimation
Mathematics, 2022 Problem: The leverage effect plays an important role in finance. However, the statistical test for the presence of the leverage effect is still lacking study.
Zhi Liu
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Modeling Crude Oil Price Dynamics: Investigation of Jump and Volatility Using Stochastic Volatility Models (Case study: WTI crude oil prices in 2020 and 2021) [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2020 Due to the strategic role of volatility and instability of crude oil prices and their effects on all countries of the world, different methods of modeling and forecasting are necessary.
mojtaba rostami +1 more
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Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix
Финансы: теория и практика, 2022 This study examines the problem of modeling the joint dynamics of conditional volatility of several financial assets under an asymmetric relationship between volatility and shocks in returns (leverage effect).
Ju. S. Trifonov, B. S. Potanin
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Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options
Risks, 2023 This work aims to develop a measure of how much credit risk is priced into equity options. Such a measure appears particularly appealing when applied to a portfolio of equity options, as it allows for the factoring in of firm-specific default dynamics ...
Federico Maglione, Maria Elvira Mancino
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Frontiers in Pharmacology, 2022 Introduction: The majority of the money spent on possible new medications’ clinical trials is accounted for by the innovative pharmaceutical sector, which also stimulates the economy of a nation.
Maurizio Gaetano Polignano +5 more
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Investigating Short and Long Run Volatility Movements in the Context of COVID-19 Pandemic: A Case Study for Norwegian Stock Market [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 The main aim of this empirical study is to examine short and long run volatility movements based on a case study for Norwegian Stock Market, i.e. Oslo Stock Exchange.
Cristi Spulbar +2 more
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The Impact of the COVID-19 Pandemic on the Cryptocurrency Market
Scientific Annals of Economics and Business, 2022 The purpose of our paper is to analyze the main factors which influence fiscal balance’s evolution and thereby identify solutions for configuring a sustainable fiscal policy.
Nidhal Mgadmi +3 more
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Modern Finance, 2023 This paper investigates the properties of South African stock returns and the underlying variance. The investigation into the properties of stock returns and the behaviour of the variance underlying returns is undertaken using model-free approaches and ...
Jan Jakub Szczygielski +1 more
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Modeling the exchange rate of the euro against the dollar using the ARCH/GARCH models [PDF]
Bankarstvo, 2016 The analysis of time series with conditional heteroskedasticity (changeable time variability, conditional variance instability, the phenomenon called volatility) is the main task of ARCH and GARCH models.
Kovačević Radovan
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