Results 41 to 50 of about 111,281 (343)
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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A framework for exploring the macroeconomic determinants of systematic risk [PDF]
, 2005 We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting ...
Andersen, Torben G. +3 more
core +2 more sources
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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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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"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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Bootstrapping Realized Multivariate Volatility Measures [PDF]
SSRN Electronic Journal, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Donovon, Prosper +2 more
openaire +5 more sources
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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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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Cholesky realized stochastic volatility model [PDF]
Econometrics and Statistics, 2017 Abstract Multivariate stochastic volatility models with leverage are expected to play important roles in financial applications such as asset allocation and risk management. However, these models suffer from two major difficulties: (1) there are too many parameters to estimate by using only daily asset returns and (2) estimated covariance matrices ...
Shinichiro Shirota +3 more
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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
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