Results 1 to 10 of about 690,219 (173)
Methods in econophysics: Estimating the probability density and volatility [PDF]
Frontiers in Physics, 2022 We discuss and analyze some recent literature that introduced pioneering methods in econophysics. In doing so, we review recent methods of estimating the volatility, volatility of volatility, and probability densities.
Moawia Alghalith
doaj +2 more sources
Chatbot as a Trading Tool in the Cryptocurrency Market [PDF]
Bìznes Inform, 2021 Today, cryptocurrencies and topics related to information technology are attracting more attention not only on the part of traders, but also scientists.
Plakhotna Yuliia K., Zahreba Maksym M.
doaj +1 more source
The drivers of volume volatility: A big data analysis based on economic uncertainty measures for the Greek banking system [PDF]
Banks and Bank Systems, 2022 In this paper, an investigation is conducted to estimate the effect of economic uncertainty on volume volatility, focusing on four systemic Greek banking institutions, including (i) Alpha Bank, (ii) Eurobank, (iii) National Bank of Greece, and (iv ...
Leonidas Theodorakopoulos +3 more
doaj +1 more source
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
doaj +1 more source
RAM. Revista de Administração Mackenzie, 2021 Purpose: The purpose of this study was to analyze the effect of investor sentiment on the volatility of the Brazilian stock market. Specifically, it aimed to identify if the asymmetric behavior of sentiment could be observed in emerging markets ...
Talieh S. V. Ferreira +2 more
doaj +1 more source
Frontiers in Psychology, 2022 This study analyzed the sensitivity between fund flow and fund performance with Korean funds, whether there would be a difference in the sensitivity between environmental, social and governance (ESG) funds and non-ESG funds, and whether there was a ...
Dongchul Kwak, Yu Kyum Kim, Il Sook Kwon
doaj +1 more source
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
doaj +1 more source
Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility
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
doaj +1 more source
How Does the Volatility of Volatility Depend on Volatility?
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
doaj +1 more source
Investors’ attention: does it impact the Nigerian stock market activities? [PDF]
Journal of Economics and Development, 2020 Purpose – The author investigates whether investors’ online information demand measured by Google search query and the changes in the numbers of Wikipedia page view can explain and predict stock return, trading volume and volatility dynamics of companies
Osarumwense Osabuohien-Irabor
doaj +1 more source