Results 51 to 60 of about 2,929 (231)

Identifying Drivers of Deviations From Rational Expectations: Using a New Irrational Index for Inflation Forecasts

Journal of Forecasting, EarlyView.
ABSTRACT Most studies on inflation forecasts have studied behavioral biases, informational frictions, or external shocks in isolation, without considering how these factors jointly drive deviations from rational expectations. We therefore adopt an integrated framework that simultaneously estimates the behavioral, informational, and external ...
Belen Chocobar, Peter Claeys
wiley   +1 more source

The Impact of Uncertainty on Forecasting the US Economy

Journal of Forecasting, EarlyView.
ABSTRACT This paper examines the predictive value of uncertainty measures for key macroeconomic indicators across multiple forecast horizons. We evaluate how different uncertainty proxies—economic policy uncertainty (EPU), VIX, geopolitical risk, and measures of macroeconomic and financial uncertainty—enhance forecast accuracy for industrial production,
Angelica Ghiselli
wiley   +1 more source

Do sentiment indices impact the premium of prominent pricing factors?

Cogent Economics & Finance, 2018
This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less significant changes
Ranjeeta Sadhwani, Suresh Kumar Oad Rajput, Ume Habibah   +2 more
doaj   +1 more source

Forecasting BDI Sea Freight Shipment Cost, VIX Investor Sentiment and MSCI Global Stock Market Indicator Indices: LSTAR-GARCH and LSTAR-APGARCH Models

Mathematics, 2023
Prediction of the economy in global markets is of crucial importance for individuals, decisionmakers, and policies. To this end, effectiveness in modeling and forecasting the directions of such leading indicators is of crucial importance.
Melike Bildirici, Işıl Şahin Onat, Özgür Ömer Ersin   +2 more
doaj   +1 more source

Brexit and Its Impact on EU Financial Markets

International Journal of Finance &Economics, EarlyView.
ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin, Gulnur Muradoglu, Vasileios Pappas, Sheeja Sivaprasad   +3 more
wiley   +1 more source

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX [PDF]

This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) implied ...
Michael McAleer, Kosuke Oya, Isao Ishida
core   +2 more sources

Stochastic and Dynamic Interaction between Islamic Volatility Index and Volatility Indices [PDF]

Türkiye İslam İktisadı Dergisi
Integration in financial markets offers opportunities for free flow of information and capital for international investments. However, this also poses challenges for maintaining effective international portfolio diversification due to heightened market ...
Halilibrahim Gökgöz, Arif Arifoğlu, Tuğrul Kandemir   +2 more
doaj   +1 more source

The Relationship Among Climate Policy Uncertainty and Energy Markets: Fossil Versus Renewable and Low‐Carbon Assets

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper investigates the intricate relationship between climate policy uncertainty (CPU) and energy market dynamics, focusing on fossil‐based and renewable/low‐carbon energy assets. Utilising a comprehensive dataset spanning from April 1987 to December 2023, comprising monthly observations of CPU, stock market returns, spot oil prices and ...
Dimitrios Asteriou, Anastasia Dimiski
wiley   +1 more source

The Rise and Fall of S&P500 Variance Futures [PDF]

Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures.
Michael McAleer, Teodosio Pérez-Amaral, Juan-Angel Jimenez-Martin, Chia-Lin Chang   +3 more
core   +2 more sources

Volatility regimes for the VIX index [PDF]

Revista de Economía Aplicada, 2011
This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the evolution of the VIX index.
openaire   +1 more source