Results 31 to 40 of about 816,870 (348)
Examining GDP Growth and Its Volatility: An Episodic Approach
Entropy, 2021 In this paper, we study economic growth and its volatility from an episodic perspective. We first demonstrate the ability of the genetic algorithm to detect shifts in the volatility and levels of a given time series.
Jakub Bartak +2 more
doaj +1 more source
Finance Research Letters, 2020 Do government interventions aimed at curbing the spread of COVID-19 affect stock market volatility? To answer this question, we explore the stringency of policy responses to the novel coronavirus pandemic in 67 countries around the world.
Adam Zaremba +3 more
semanticscholar +1 more source
Has the COVID-19 Pandemic Led to a Switch in the Volatility of Biopharmaceutical Companies?
Mathematics, 2023 Biopharmaceutical companies are critical in developing vaccines, treatments, and diagnostics for COVID-19. Thus, understanding the contagion effects of their stock market can have important economic implications, especially in the context of global ...
Adriana AnaMaria Davidescu +5 more
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
, 1993 The authors find support for a negative relation between conditional expected monthly return and conditional variance of monthly return using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations ...
L. Glosten, R. Jagannathan, D. Runkle
semanticscholar +1 more source
A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2014 We propose a new type of asymptotic expansion for the transition probability density function (or heat kernel) of certain parabolic partial differential equations (PDEs) that appear in option pricing. As other, related methods developed by Costanzino, Hagan, Gatheral, Lesniewski, Pascucci, and their collaborators, among others, our method is based on ...
Nistor, Victor +2 more
openaire +4 more sources
Methods in econophysics: Estimating the probability density and volatility
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 +1 more source
Realized Volatility Risk [PDF]
In this paper we document that realized variation measures constructed from high- frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in ...
David E. Allen +2 more
core +6 more sources
An Insight into the Machine-Learning-Based Fileless Malware Detection
Sensors, 2023 In recent years, massive development in the malware industry changed the entire landscape for malware development. Therefore, cybercriminals became more sophisticated by advancing their development techniques from file-based to fileless malware.
Osama Khalid +7 more
doaj +1 more source
COVID-19 and the United States financial markets’ volatility
Finance Research Letters, 2020 We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US).
C. Albulescu
semanticscholar +1 more source
Erken Dönem Covid-19 Pandemisinin Avrupa Borsalarındaki Volatiliteye Etkisinin Araştırılması
Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2022 Bu çalışmada, COVID-19 pandemisinin erken döneminde, Avrupa borsalarında yaşanan dalgalanmanın pandemi ile ilişkisinin kısa dönem için ortaya konulması amaçlanmıştır.
Bülent Yıldız
doaj +1 more source