Results 1 to 10 of about 739,004 (346)
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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Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility [PDF]
Risks, 2020 We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time.
Moawia Alghalith +2 more
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The Effects of Institutional Investors Herding on the Performance of Iran Capial Market Anomalies [PDF]
فصلنامه بورس اوراق بهادار, 2022 Anomalies in financial markets, which is produced and exacerbated by sensitive and imitative behavior and reduces market efficiency, have always been the focus of researchers. In this research, a criterion for measuring the mass turnover of institutional
mohammad hassan ebrahimi sarveolia +3 more
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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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Methodological Approach to the Organization of Monitoring of Cash Flow Volatility
Финансы: теория и практика, 2021 The study presents the author’s approach to monitoring the volatility of cash flows. The relevance of the study is due to the fact that a high increase in volatility can have a negative impact on the stability of individual economic entities; therefore ...
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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Eco-Efficiency and Stock Market Volatility: Emerging Markets Analysis
Administrative Sciences, 2021 Climate change, the accelerated industrialization of emerging countries, as well as the growing demand for transparency from stakeholders, are all factors that influence the environmental performance of companies. Thus, eco-efficient behavior can improve
Alicia Fernanda Galindo-Manrique +2 more
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Energies, 2023 The authors propose an instrumental apparatus for calculating the ratings of Russian companies in the oil and gas and electric power industries based on a weighting method, risk assessment using the minimax criterion and an intellectual tree structure ...
Alex Borodin +3 more
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Optimal Setting for Hurst Index Estimation and Its Application in Chinese Stock Market
IEEE Access, 2021 The Hurst index is widely used to describe the long memory process of time series in economics, finance, and other fields. The setting for Hurst index estimation has not been thoroughly investigated by current literature.
Liang Ding +3 more
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Mathematical Biosciences and Engineering, 2021 In view of the important position of crude oil in the national economy and its contribution to various economic sectors, crude oil price and volatility prediction have become an increasingly hot issue that is concerned by practitioners and researchers ...
Hongli Niu, Yazhi Zhao
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