Results 41 to 50 of about 2,929 (231)

Application of the VAR model in examining the determinants of returns of selected cryptocurrencies

BizInfo, 2023
The increase in the value of cryptocurrencies, market capitalization, and volume of trading on crypto exchanges resulted in a significant increase in the interest of researchers in this decentralized financial system.
Sunčica Stanković, Bojan Đorđević, Nataša Milojević   +2 more
doaj   +1 more source

Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures [PDF]

It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more ...
Michael McAleer, Juan-Ángel Jiménez-Martín, Roberto Casarin, Teodosio Pérez-Amaral, Chia-Lin Chang   +4 more
core   +4 more sources

Which index is more affected by CDS premium and VIX index : BIST-30 or Participation-30? [PDF]

, 2022
PURPOSE: This study aims at determining the existence and, if any, the extent of comparative effects of the CDS premium and the VIX index on the BIST-30 and the Participation-30 indices before and during the pandemic.METHODOLOGY: The study explores the ...
Özdemir, Letife, Bayramli, Javidan, Kula, Veysel   +2 more
core   +1 more source

Tracking Climate and Environmental Attention: A News‐Based Composite Index

Corporate Social Responsibility and Environmental Management, EarlyView.
ABSTRACT This study introduces the Climate and Environmental Attention Index, a composite indicator that tracks media attention to climate and environmental issues. Based on the Semantic Brand Score, the proposed index extracts significant signals from unstructured text, going beyond traditional measures of word frequency and sentiment.
Gianna Figà‐Talamanca, Andrea Fronzetti Colladon, Barbara Guardabascio, Ludovica Segneri   +3 more
wiley   +1 more source

Bitcoin Cycle through Markov Regime-Switching Model

Engineering Proceedings
We analyzed Bitcoin’s cyclical patterns used by the Markov regime-switching model and explored the impacts of inflation and the US Dollar Index on Bitcoin’s cyclicality.
Yi-Chun Shih, Wen-Tsung Huang, Pao-Peng Hsu   +2 more
doaj   +1 more source

The Behavior of Option’s Implied Volatility Index: a Case of India VIX

Verslas: Teorija ir Praktika, 2015
The aim of this paper is to investigate the behavior of implied volatility in the form of day-of-the-week, year-of-the-month and surround the expiration of options. The persistence of volatility is modeled in ARCH/GARCH type framework. The empirical results have shown significant effects of the day-of-the-week, month-of-the-year and day of options ...
Shaikh, Imlak, Padhi, Puja
openaire   +3 more sources

The information content of implied volatility index (India VIX) [PDF]

Global Business Perspectives, 2013
This paper examines the predictive ability of India VIX as the best forecast of realized return volatility. This study takes into account the implied volatility index (India VIX), also known as the investors fear gauge index. We have employed OLS, 2SLS procedure and quantile regression to study the predictive power of implied volatility index ...
Imlak Shaikh, Puja Padhi
openaire   +1 more source

Term Spread Volatility as a Leading Indicator of Economic Activity

Journal of Forecasting, EarlyView.
ABSTRACT In this paper, we examine the macroeconomic predictive power of the volatility of the US Treasury yield curve slope (term spread volatility). Our forecasting exercise shows that US term spread volatility has significant predictive power for US industrial production and employment growth.
Anastasios Megaritis, Dimitrios Bakas, Theodora Bermpei, Athanasios Triantafyllou   +3 more
wiley   +1 more source

Volatility Interaction Between VIX (Fear Index) and Fragile Five Countries [PDF]

, 2023
Bu çalışmada kırılgan beşli ülkeler ile VIX endeksi arasında asimetrik getiri ve volatilite yayılımı araştırılmıştır. Kırılgan ülkelerin kırılganlıkları makroekonomik faktörler nedeniyle oluşmaktadır ve bu örtük volatiliteye neden olmaktadır.
Kutlu, Melih, Tüekoğlu, Diler
core   +1 more source

Stylized patterns in implied volatility indices and stock market returns: A cross country analysis across developed and emerging markets

Cogent Economics & Finance, 2020
Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the ...
Jalaj Pathak, Soumya G. Deb
doaj   +1 more source