Results 1 to 10 of about 816,870 (348)
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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Capturing the Performance of Indonesian Sharia Stock Index (ISSI) and Composite Share Price Index (IHSG) Jakarta Period 2016-2019 [PDF]
Falah: Jurnal Ekonomi Syariah, 2020 This study aims to compare the performance of Indonesia Sharia Stock Index (ISSI) and Composite Share Price Index (IHSG) Jakarta over bullish dan bearish period 2016-2019. This research is descriptive quantitative using natural log and standard deviation
Muhammad Hanif al-Hakim
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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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VOLATILITAS HARGA BAWANG DI JAWA BARAT DENGAN METODE ARCH/GARCH
Jurnal Lebesgue, 2022 Food commodities such as shallots and garlic are still a concern for the Indonesian people, this is because prices are not fixed and fluctuate for each period. It is these price fluctuations that cause high price volatility.
Ranti Pramushinta Kurnia +1 more
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Cogent Economics & Finance, 2023 Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing through markets with little connection to such fundamentals?
Lithin B M +4 more
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Assessing Portfolio Risks Involving Bitcoin and Ethereum Using Vector Autoregressive Model [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 Investors now have a multitude of non-traditional assets to choose from, especially from the spectrum of alternative assets, such as financial digital assets.
Andrei-Dragos Popescu
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Risks, 2021 This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to ...
Mila Andreani +3 more
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The Impact of North Korea’s Nuclear Tests on Asian Stock Markets [PDF]
Eurasian Journal of Business and Economics, 2021 This study investigates the impact of North Korea’s nuclear tests on Asian stock markets. Two approaches are used separately in order to identify how stock market returns and volatilities change immediately after the nuclear tests.
Chung BAEK
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Recent Examination of Energy Markets Volatility
Studies in Business and Economics, 2023 The main aim of the paper is to examine if the energy market (crude oil, gas and electricity) realized volatility exhibits a symmetric or an asymmetric behaviour, for certain commodities over the period May 2012 – August 2022.
Jude Octavian +2 more
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