Results 211 to 220 of about 21,387 (259)

Quasi-Maximum Exponential Likelihood Estimation of Conditional Quantiles for GARCH Models Based on High-Frequency Augmented Data. [PDF]

Entropy (Basel)
Zhang Z, Zhao S, Cheng J, Wang A.
europepmc   +1 more source

Addressing lightning and market uncertainties in self-scheduling: A fuzzy-markov approach for smart grids. [PDF]

Sci Rep
Benistan IS, Shahbazzadeh MJ, Eslami M.
europepmc   +1 more source

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Oil market volatility and stock market volatility

Finance Research Letters, 2018
Abstract This paper studies the comovement between volatility of the equity market and the oil market, both for implied and realized volatilities. The wavelet methodology enables us to study this relationship on various time scales. We find that there is a strong comovement between the volatilities of the two markets. However, this comovement is time-
Peter Molnár
exaly   +2 more sources

Market Volatility and Momentum

SSRN Electronic Journal, 2009
Abstract We investigate the predictive power of market volatility for momentum. We find that (1) market volatility has significant power to forecast momentum payoffs, which is robust after controlling for market state and business cycle variables; (2) market volatility absorbs much of the predictive power of market state; (3) after controlling for ...
Kevin Q. Wang, Jianguo Xu
openaire   +1 more source

Volatility in the Cryptocurrency Market

Open Economies Review, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Jinan, Serletis, Apostolos
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Bond Market Volatility Compared to Stock Market Volatility

The Journal of Portfolio Management, 2000
The high volatility of rates of returns on bonds during the 1980s received a great deal of attention because it is readily acknowledged that bond return volatility is critical to the analysis and management of bonds. Yet there has been no detailed analysis of bond market volatility for the pre–1980 period that would allow the experience during the ...
Frank K. Reilly, David J. Wright, Kam C. Chan   +2 more
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Volatility discovery in cryptocurrency markets

The Journal of Risk Finance, 2020
PurposeCryptocurrency markets are notoriously noisy, but not all markets might behave in the exact same way. Therefore, the aim of this paper is to investigate which one of the cryptocurrency markets contributes the most to the common volatility component inherent in the market.Design/methodology/approachThe paper extracts each of the cryptocurrency's ...
Thomas Dimpfl, Dalia Elshiaty
openaire   +1 more source

An analysis of firm and market volatility [PDF]

Economic Systems, 2011
In this paper, using time series data for the period 2 January to1998 to 31 December 2008, for 560 firms listed on the NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we develop the analytical framework motivating the firm-market volatility relationship. We unravel three new findings
Susan Sunila Sharma, Paresh Kumar Narayan, Xinwei Zheng   +2 more
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Incomplete Markets and Volatility

SSRN Electronic Journal, 1998
This paper shows that the precautionary motive, combined with asset incompleteness, is a major source of volatility and indeterminacy in financial markets. Price fluctuations originate from agents' efforts to insure themselves through time by borrowing and lending instead of shifting income across states of nature by trading risky assets.
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