Asymmetric Conditional Volatility on the Romanian Stock Market [PDF]
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to test the hypothesis under which the the conditional variance of stock returns is an asymmetric
Florin Stanciu
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Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions [PDF]
This paper investigates whether the risk-return relation varies, depending on changing market volatility and up/down market conditions. Three market regimes based on the level of conditional volatility of market returns are specified - 'low', 'neutral ...
Robert Faff, Don U.A. Galagedera
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Entropy-Driven Volatility Prediction for ETF Quantitative Investment in the Chinese Stock Market: A Machine Learning Framework for Barbell Strategy Optimization. [PDF]
Entropy (Basel)Yan K, Yue Z, He Q, Li Y.
europepmc +1 more source
Volatility Mean Reversion and the Market Price of Volatility Risk
, 2001 This paper analyzes sources of derivative pricing errors in a stochastic volatility model estimated on stock return data. It is shown that such pricing errors may reflect the existence of a market price of volatility risk, but also may be caused by ...
Boswijk, H.P., H. Peter Boswijk
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A quantum reservoir computing approach to quantum stock price forecasting in technology-markets. [PDF]
EPJ Quantum TechnolOtieno W +4 more
europepmc +1 more source
The Impact of Digital Currency Innovation: Risk Spillover Effects Between the Cryptocurrency and Traditional Financial Markets. [PDF]
Entropy (Basel)Zhuang L, Liu Y.
europepmc +1 more source
Reliable Hardware Sensor and Large Language Model Fusion for Intelligent Short-Term Market Risk Sensing and Prediction. [PDF]
Sensors (Basel)Zhou Z +6 more
europepmc +1 more source
Modeling Market Volatility in Emerging Markets: The case of Daily Data in Amman Stock Exchange 1992-2004 [PDF]
This paper attempts to investigate the volatility of the Jordanian emerging stock market using daily observations from Amman Stock Exchange Composite Index (ASE) for the period from January 1, 1992 through December 31, 2004.
AL-KHOURI, Ritab, ROUSAN, Raya
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Data-driven adaptive hybrid models for exchange rate return forecasting. [PDF]
Front Big DataAdesina OS, Obokoh LO.
europepmc +1 more source
The psychological toll of financial volatility: compulsive habits, gambling parallels, and social policy implications. [PDF]
Front PsycholDote-Pardo J +2 more
europepmc +1 more source