Results 1 to 10 of about 724,175 (203)

Impact of COVID-19 on Stock Market and Gold Returns in India [PDF]

open access: yesEurasian Journal of Business and Economics, 2021
The spread of COVID-19 has caused severe damage to human lives and the global economy. The stock markets around the world have plummeted to their lowest levels since the 2008 Global Financial Crisis.
Sarika MAHAJAN, Priya MAHAJAN
doaj   +1 more source

Challenges of integrated variance estimation in emerging stock markets [PDF]

open access: yesZbornik 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

The macroeconomic variables impact on commodity futures volatility: A study on Indian markets

open access: yesCogent Business & Management, 2021
The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in India (together with oil futures, agricultural commodity futures and metal futures).
Nenavath Sreenu, K.S. S. Rao, Kishan D
doaj   +1 more source

The Effects of Institutional Investors Herding on the Performance of Iran Capial Market Anomalies [PDF]

open access: yesفصلنامه 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
doaj   +1 more source

Analysis of meat price volatility and volatility spillovers in Finland

open access: yesAgricultural 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

Does earnings distribution policy influence corporate stock price instability? Empirical evidence from Tanzanian listed industrial firms

open access: yesCogent Economics & Finance, 2021
This paper primarily aims at examining the impact of dividend policy on stock price volatility of industrial firms listed in the Dar es Salaam Stock Exchange employing data collected from audited published financial statements for the period 2009–2019 ...
Josephat Lotto
doaj   +1 more source

Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility

open access: yesRisks, 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?

open access: yesRisks, 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

Optimal Setting for Hurst Index Estimation and Its Application in Chinese Stock Market

open access: yesIEEE 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
doaj   +1 more source

Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models [PDF]

open access: yesJournal of Asset Management and Financing, 2020
Objective: Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets, thus it is largely used in controlling and predicting a wide variety of risks such as market, credit, and financial risks.
Mojtaba Biek Khormizi, Meysam Rafei
doaj   +1 more source

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