Results 41 to 50 of about 178,821,162 (156)
Does trading mechanism shape cross-market integration? Evidence from stocks and corporate bonds on the Tel Aviv Stock Exchange [PDF]
Journal of Economics Finance and Administrative SciencePurpose – This study investigates the influence of trading mechanisms on cross-market integration between stocks and corporate bonds on the Tel Aviv Stock Exchange (TASE) during the COVID-19 crisis.
Elroi Hadad
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MathematicsThis paper examines tail risk spillovers and cross-market volatility forecasting between the U.S. equity market and the crude oil market. Using realized and implied volatility within a heterogeneous autoregressive (HAR) framework, we document asymmetric ...
Shaocong Peng, Yun Shi
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The Term Structure Of Volatility
, 2007 This paper is a first effort to describe the term structure of volatility in an emerging stock market of a developing country namely Turkey. Realized volatility and implied volatility under random walk theory are compared by employing the daily ...
Ercan Balaban +2 more
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Volatility Spillover between the Stock Market and the Foreign Market in Pakistan [PDF]
Our paper examines the volatility spillover between the stock market and the foreign exchange market in Pakistan. For the longrun relationship we use the Engle Granger two-step procedure and the volatility spillover is modelled through the bivariate ...
A. R. Kemal, Abdul Qayyum
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STOCK MARKET VOLATILITY AND THE FORECASTING ACCURACY OF IMPLIED VOLATILITY INDICES [PDF]
This study develops a new model-free benchmark of implied volatility for the Japanese stock market similar in construction to the new VIX based on the S&P 500 index.
Moo-Sung KIM +2 more
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Forward Freight Agreements and Market Transparency in the Capesize Sector
Asian Journal of Shipping and Logistics, 2019 We investigate the connection between the trading of Forward Freight Agreements (FFAs) and its microstructure effects in the volatility of the spot freight market in the Capesize dry-bulk sector of oceangoing vessels.
Theodore Pelagidis +1 more
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مجله اقتصاد و توسعه کشاورزی, 2014 Financial markets are one of the most crucial markets in every country. Stock exchange market and exchange market are the most sensitive sectors of financial market.
Arash Dourandish
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Heterogeneous Traders, the Leverage Effect and Volatility of the Chinese P2P Market
Journal of Management Science and Engineering, 2018 The new financial industry represented by peer-to-peer lending has gradually become a new source of volatility due to the increasing complexity of the Chinese financial market.
Xing Fang +3 more
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Does the weather affect stock market volatility? [PDF]
This paper investigates the empirical association between stock market volatility and investor mood-proxies related to the weather (cloudiness, temperature and precipitation) and the environment (nighttime length).
Markellos, Raphael +2 more
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, 2005 Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical ...
Tim Bollerslev +7 more
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