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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LEVERAGE EFFECT IN GOVERNANCE: BLOCKCHAIN GOVERNANCE [PDF]
Kesit Akademi, 2021 Because of the rapid progress of information and communication technology, everyday life activities can now be easily moved to the digital world. Public administration is one of the sectors most impacted by this transition. It is clear that electronic government and mobile government apps will grow further as public administration becomes more digital.
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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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Debt maturity and the leverage ratcheting effect [PDF]
Finance, 2019 Admati, Demarzo, Hellwig, et Pfleiderer (ADHP, 2018) font remarquer que les modèles statiques d’endettement optimal supposent que les entreprises n’ont aucune dette à l’origine. Dans ce cas, le levier qui maximise la valeur de l’entreprise maximise aussi la richesse des actionnaires initiaux.
Leland, Hayne, Hackbarth, Dirk
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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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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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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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