Results 11 to 20 of about 6,227 (165)
Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices
Stats, 2023 In this paper, we conducted an empirical investigation of the realized volatility of cryptocurrencies using an econometric approach. This work’s two main characteristics are: (i) the realized volatility to be forecast filters jumps, and (ii) the benefit ...
Julien Chevallier, Bilel Sanhaji
doaj +1 more source
Borsa Istanbul Review, 2021 This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets.
Walid Mensi +3 more
doaj +1 more source
The dual effect of idiosyncratic volatility on stock pricing and return
China Accounting and Finance Review, 2022 This study aims to examine what underlies the estimated relation between idiosyncratic volatility and realized return. Idiosyncratic volatility has a dual effect on stock pricing: it not only affects investors' expected return but also affects the ...
Zhuo (June) Cheng, Jing (Bob) Fang
doaj +1 more source
Does volatility mediate the impact of analyst recommendations on herding in Malaysian stock market?
Economics and Business Review, 2021 This study examines the mediating role of volatility on the relationship between analyst recommendations and herding in the Malaysian stock market by using data from 2010 to 2020. Volatility is measured by realized volatility and the Parkinson estimator.
Loang Ooi Kok, Ahmad Zamri
doaj +1 more source
Borsa Istanbul Review, 2020 Using the nearest neighbor truncation (NNT) approach, this study investigates the realized volatility transmission between the Malaysian Islamic market with various global sectoral Islamic stock markets by extending the heterogeneous autoregressive (HAR)
Sew Lai Ng +2 more
doaj +1 more source
Risks, 2023 Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility.
Rhenan G. S. Queiroz, Sergio A. David
doaj +1 more source
Infectious Diseases, Market Uncertainty and Oil Market Volatility
Energies, 2020 We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility.
Elie Bouri +3 more
doaj +1 more source
Realized Volatility in Seoul Foreign Exchange Market
East Asian Economic Review, 2003 This paper constructs model-free estimates of daily KRW/USD's volatility, termed realized volatility, using two minutes frequency and compares the volatility with two major currencies of JPY/USD and EURO/USD.
Chae-Shick Chung +2 more
doaj +1 more source
Dynamics of Connectedness in Clean Energy Stocks
Energies, 2020 This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities ...
Fernanda Fuentes, Rodrigo Herrera
doaj +1 more source
The role of oil futures intraday information on predicting US stock market volatility
Journal of Management Science and Engineering, 2021 This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover,
Yusui Tang +3 more
doaj +1 more source