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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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Firm-specific, macroeconomic factors and stock price risk for Jordanian banks [PDF]
Banks and Bank Systems, 2021 Internal (firm-specific) and external (macroeconomic) determinants of stock price fluctuations are vital for investors seeking to invest their money in a firm’s stocks.
Wasfi Al Salamat +2 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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Energies, 2023 In this paper, we propose dynamic, short-term, financial risk management strategies for small electricity producers and buyers that trade in the wholesale electricity markets.
Joanna Janczura, Andrzej Puć
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The impact of disruptive technology on banking under switching volatility regimes
Technological and Economic Development of Economy, 2023 This paper uses the case of Spain to investigate whether and how disruptive technology impacts banking stock returns under a high volatility regime and a low volatility regime.
Laura Arenas +2 more
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İktisat Politikası Araştırmaları Dergisi, 2023 This study investigates the impact of terrorist attacks on the price fluctuations of Bitcoin prices and NFT sales. Although the value proposition of cryptocurrencies, Decentralized Finance, and the whole blockchain revolution is a quicker, cheaper, and ...
Firuze Simay Sezgin, Caner Özdurak
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Modeling Exchange Rate Volatility in Türkiye: An Empirical Research
İktisat Politikası Araştırmaları Dergisi, 2023 Exchange rate volatility is a concept that corresponds to the fluctuations around the equilibrium value of the exchange rate and is the main source of exchange rate risk as it adversely affects many variables that can disrupt macroeconomic stability ...
Sinem Kutlu Horvath +1 more
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Guangdong nongye kexue, 2022 【Objective】The volatile components and antibacterial activities of hydrosols from Cinnamomum camphora leaves were studied in order to provide references for the use of hydrosols as natural preservatives and disinfection products.【Method】Taking leaves of ...
Suhua YANG +6 more
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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
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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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