MODELLING STOCK MARKET VOLATILITY: THE CASE OF BIST-100 [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, 2015 The interest for the stock market volatility, considered as a marker of inefficient pricing of stock shares and insufficient functionality of the financial markets, has increased during the recent years.
FİLİZ ERYILMAZ
doaj
Day-of-the-week effect on the Tunisian stock market return and volatility
Cogent Business & Management, 2016 In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and
Abdelkader Derbali, Slaheddine Hallara
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Evidence on the Economics of Equity Return Volatility Clustering [PDF]
The underlying economic sources of volatility clustering in asset returns remain a puzzle in financial economics. Using daily equity returns, we study variation in the volatility relation between the conditional variance of individual firm returns and ...
Robert A. Connolly +1 more
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Memristive Motion‐Streak Neuron for Spatiotemporal Multiple Object Detection
Advanced Materials, EarlyView.This work proposes motion‐streak neuron hardware using amorphous In–Ga–Zn–O optoelectronic memristors and dynamic memristors for spatiotemporal multiple‐object detection. The motion streak neuron array processes optical and electrical stimuli, allowing speed‐dependent filament relaxation to encode motion trajectories.
Hyungjun Park +9 more
wiley +1 more source
The forecasting power of EPU for crude oil return volatility
Energy Reports, 2019 Economic policy uncertainty (EPU) has important implications for crude oil market. To explore the implications, this paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power in crude oil ...
Rufei Ma +3 more
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The effect of COVID-19 pandemic on return-volume and return-volatility relationships in cryptocurrency markets. [PDF]
Chaos Solitons Fractals, 2022 Foroutan P, Lahmiri S.
europepmc +1 more source
Asymmetric return–volatility relationship of uranium investments
This study investigates the return–volatility relationship of the largest physical uranium investment trust, Sprott Physical Uranium Trust (SPUT), addressing a largely underexplored asset class. Analyses based on daily data yield mixed results.
Todorova, N
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Volatile Memristive Devices With Tunable Temporal Dynamics For Event‐Based Sensing
Advanced Materials, EarlyView.Tunable volatile memristive devices can serve various neural‐inspired tasks that require different time windows of information retention. The ionic‐based volatility of the presented Pt/a‐STO/TaOx/Ta device stack can be reproducibly and controllably tuned in multiple ways.
Dimitrios Spithouris +7 more
wiley +1 more source
Aspects of volatility targeting for South African equity investors
South African Journal of Economic and Management Sciences, 2014 We consider so-called volatility targeting strategies in the South African equity market. These strategies are aimed at keeping the volatility of a portfolio consisting of a risky asset, typically an equity index, and cash fixed. This is done by changing
Bhekinkosi Khuzwayo, Eben Mare
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An Empirical Analysis of the Taiwan Institutional Trading Volume Volatility Spillover on Stock Market Index Return [PDF]
This paper provides interesting empirical evidence on the relation between the volatility impact effect of the Taiwan institutional trading volume and the stock market index by using the MEGARCH model. We found a significant autoregressive coefficient of
Ching-Chun Wei
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