THE FINANCIAL PERFORMANCE – RISK CORRELATION OF COMPANIES LISTED ON THE BUCHAREST STOCK EXCHANGE [PDF]
Annals of the University of Craiova: Economic Sciences Series, 2020 This present paper analyzes the correlation between the financial performance and the risks based on a sample of 40 companies listed on Bucharest Stock Exchange. The period subjected to observation was in amount of three years (2016-2018).
Andreea Claudia Chiurtu
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Modelling Stock Market Volatility During the COVID-19 Pandemic: Evidence from BRICS Countries
Managing Global Transitions, 2023 The objective of the research paper is to identify the stock market volatility pattern of BRICS countries during the outbreak of the COVID-19 pandemic.
Karunanithy Banumathy
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Recent Examination of Energy Markets Volatility
Studies in Business and Economics, 2023 The main aim of the paper is to examine if the energy market (crude oil, gas and electricity) realized volatility exhibits a symmetric or an asymmetric behaviour, for certain commodities over the period May 2012 – August 2022.
Jude Octavian +2 more
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Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
Journal of Statistical Software, 2021 Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series.
Darjus Hosszejni, Gregor Kastner
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Exploring Advanced GARCH Models for Analyzing Asymmetric Volatility Dynamics for the Emerging Stock Market in Hungary: An Empirical Case Study [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied InformaticsThe study was conducted on BUX Index volatility for the post-2008 (from 2011) global financial crisis period using advanced GARCH models (GARCH, TGARCH, EGARCH, IGARCH, PARCH, APARCH).
Shreevastava Aman +6 more
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Unusual behavior: reversed leverage effect bias [PDF]
Mathematics and Modeling in Finance, 2021 According to the literature on risk, bad news induces higher volatility than good news. Although parametric procedures used for conditional variance modeling are associated with model risk, this may affect the volatility and conditional value at risk ...
Saeid Tajdini +2 more
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Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models
Econometrics, 2022 In this paper, we propose a new method for estimating and forecasting asymmetric stochastic volatility models. The proposal is based on dynamic linear models with Markov switching written as state space models.
Omar Abbara, Mauricio Zevallos
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Leverage Effect and the Role of Debt Ratio in Companies Listed on the Tehran Stock Exchange [PDF]
فصلنامه پژوهشهای اقتصادی ایرانThe negative correlation between an asset’s volatility and its return is known as leverage effect. This relationship is explained by the effect of a firm’s equity return on the degree of leverage in its capital structure.
Teimur Mohammadi +2 more
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Examining the Leverage Effect, Dynamic Conditional Correlation, and Volatility Spillover Among Selected Indices of the Tehran Stock Exchange: Evidence from the ARMA-DCC-GJR-GARCH Model [PDF]
تحقیقات مالیObjectiveIn financial literature, there are two well-explored characteristics of volatility. The first pertains to the asymmetric reactions of volatility to positive and negative news, while the second involves the presence of volatility spillover ...
Gholamhosein Golarzi +1 more
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Revista de Análisis Económico y Financiero, 2021 Policymakers need accurate forecasts about the future values of exchange rates. This is due to the fact that exchange rate volatility is a useful measure of uncertainty about a country's economic environment.
Victor Chung Alva
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