Results 11 to 20 of about 719,605 (249)
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
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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
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Realized Volatility Risk [PDF]
In this paper we document that realized variation measures constructed from high- frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in ...
David E. Allen +2 more
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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
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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
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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
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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
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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
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"Investor attention fluctuation and stock market volatility: Evidence from China".
PLoS ONE, 2023 This paper examines the linkage between Chinese stock market volatility and investor attention fluctuation. In Heterogeneous autoregressive (HAR) model, first, we analyzed the linkage between both decomposed and undecomposed stock market realized ...
Taiji Yang, Siqi Zhuo, Yongsheng Yang
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Modelling and Forecasting Noisy Realized Volatility [PDF]
Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even
Michael McAleer +2 more
core +6 more sources