Results 31 to 40 of about 380,620 (306)
Stabilizing effect of volatility in financial markets [PDF]
Physical Review E, 2018 In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To investigate this surprising feature, here we propose using the mean first hitting time, i.e.
Valenti D, Fazio G, Spagnolo B
openaire +5 more sources
Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws [PDF]
, 2010 We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined threshold.
A. Joulin +10 more
core +2 more sources
EXCHANGE RATE VOLATILITY AND STOCK MARKET DEVELOPMENT: AN EMPIRICAL EVIDENCE FROM NIGERIA
Malete Journal of Accounting and Finance, 2023 Recent evidence suggests that stock markets experience shift in volatility which can affect development of such markets. This study re-examines exchange rate volatility and stock market development in Nigeria using annual data from 1985-2020.
Ahmed Oluwatobi ADEKUNLE
doaj
Dynamic Econometric Models, 2016 In this paper we investigate if the strength of firm-market volatility relationship has changed after subprime crisis on the Polish Capital Market. The empirical study concern the selected companies listed on the Warsaw Stock Exchange (WSE) from the construction and IT sectors in the 2004–2011 period.
Aneta Włodarczyk, Iwona Otola
openaire +2 more sources
The pricing of volatility risk in the US equity market
International Review of Financial Analysis, 2020 Abstract We analyse whether the pricing of volatility risk depends on the asset pricing framework applied in the tests, the specified volatility proxies, and the portfolio sorts used for spanning the asset universe. For this purpose, we compare the results using a macroeconomic and fundamental based asset pricing model using three proxies of ...
Lukas Hitz +2 more
openaire +3 more sources
Economic Policy Uncertainty and Chinese Stock Market Volatility: A CARR-MIDAS Approach
Complexity, 2021 Intraday range (the difference between intraday high and low prices) is often used to measure volatility, which has proven to be a more efficient volatility estimator than the return-based one. Meanwhile, a growing body of studies has found that economic
Xinyu Wu, Tianyu Liu, Haibin Xie
doaj +1 more source
Are the systemic risk spillovers of good and bad volatility in oil and global equity markets alike?
Energy Strategy Reviews, 2023 This paper explores the asymmetric connectedness of systemic risk between the oil and global stock markets in both the time and frequency domains. To do so, we introduce time-varying parametric vector autoregressive (TVP-VAR) spillover index models and ...
Qichang Xie, Jingrui Qin, Jianwei Li
doaj +1 more source
How does stock market volatility react to oil shocks?
, 2017 We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility using a ...
Bastianin, Andrea, Manera, Matteo
core +1 more source
On the correlation structure of microstructure noise in theory and practice [PDF]
, 2008 We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent ...
Diebold, Francis X., Strasser, Georg H.
core +3 more sources
FEBS Open Bio, EarlyView.This review provides an overview of bio‐based polymer sources, their unique functional properties and their environmental impact, and addresses their role as sustainable alternatives. It discusses end‐of‐life options, including composting and anaerobic digestion for renewable energy.
Sabina Kolbl Repinc +8 more
wiley +1 more source