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How Does the Volatility of Volatility Depend on Volatility? [PDF]
Risks, 2020 We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance ...
Sigurd Emil Rømer, Rolf Poulsen
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COVID-19 and stock market volatility: An industry level analysis
Finance Research Letters, 2020 Highlights • This paper analyzes the effects of COVID-19 on the U.S. stock market volatility at the industry level.• The market switching AR model is used to identify regime change from lower volatility to higher volatility.• Petroleum and natural gas ...
Mina Glambosky +2 more
exaly +2 more sources
Econometric analysis of realized volatility and its use in estimating stochastic volatility models
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2002 Neil Shephard
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The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association, 2001 Tim Bollerslev, Torben G Andersen
exaly +2 more sources
Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
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Conceptual Approaches to the Development of a Cash Flow Classifier
Вестник Российского экономического университета имени Г. В. Плеханова, 2023 Cash flows are a convenient source of operational information for analyzing the state of the economy. Obtaining this information will ensure the use of operational regulatory tools to achieve the goals of economic security. The purpose of the study is to
V. V. Maslennikov, A. V. Larionov
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Analysis of meat price volatility and volatility spillovers in Finland
Agricultural Economics (AGRICECON), 2020 Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products.
Marwa Ben Abdallah +2 more
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Focusing on the Exchange Rate Volatility and International Trade Relationship: Evidence from South Africa [PDF]
Management and Economics Review, 2023 Despite the extensive literature on the exchange rates volatility and international trade, there is no consensus in the literature. This study examines how South African exports demand is affected by exchange rate volatility. The sample period covers the
Ntokozo HADEBE, Simiso MSOMI
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Volatility Modeling and Dependence Structure of ESG and Conventional Investments
Risks, 2022 The question of whether environmental, social, and governance investments outperform or underperform other conventional financial investments has been debated in the literature.
Joanna Górka, Katarzyna Kuziak
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Future Internet, 2022 Forecasting the risk factor of the financial frontier markets has always been a very challenging task. Unlike an emerging market, a frontier market has a missing parameter named “volatility”, which indicates the market’s risk and as a result of the ...
Mst. Shapna Akter +3 more
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