Results 41 to 50 of about 727,591 (368)
Why Does Stock Market Volatility Change Over Time?
, 1988 This paper analyzes the relation of stock volatility with real and nominal macroeconomic volatility, financial leverage, stock trading activity, default risk, and firm profitability using monthly data from 1857-1986.
G. Schwert
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Hourly Oil Price Volatility: The Role of COVID-19
, 2020 In this paper, we study the evolution of hourly oil price volatility. Using multiple measures of oil price volatility, we conclude that volatility increased following the onset of COVID-19.
Neluka Devpura, P. Narayan
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The memory of volatility [PDF]
Quantitative Finance and Economics, 2018 The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been considered. Estimates in the literature range roughly between 0.4 and 0.6 - that is from the higher stationary to ...
Wenger, Kai +2 more
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Stock returns, volatility and mean reversion in emerging and developed financial markets
Technological and Economic Development of Economy, 2018 The objective of this research is to measure and examine volatilities between important emerging and developed stock markets and to ascertain a relationship between volatilities and stock returns.
Rizwan Raheem Ahmed +4 more
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Cogent Economics & Finance, 2020 Quantifiable, measurable risk is of critical importance when making data-driven decisions in finance and investment management, but what if the generally accepted practice of the investment industry for calculating risk possessed incorrect mathematical ...
Matthew W. Burkett, William T. Scherer
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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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Managing Price Risk in the Corn Market Using Option Strategies
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018 In today’s economy, the agricultural sector faces a high degree of risk due to increasing commodity price volatility. Therefore, it is important to know how to manage the price risk effectively.
Monika Harčariková
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, 2008 We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers.
F. Diebold, K. Yilmaz
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Covid-19'un Uluslararası Pay Piyasalarına Etkisi
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2020 Pay piyasaları, ekonominin bir göstergesi olarak sayılmakta, bunun yanında sosyal ve ekonomik sorunlar da bu piyasalarda volatiliteye neden olmaktadır.
Deniz Sevinç
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Monetary Policy and Exchange Rate Volatility in a Small Open Economy
, 2002 We lay out a small open economy version of the Calvo sticky price model, and show how the equilibrium dynamics can be reduced to simple representation in domestic inflation and the output gap.
Jordi Galí, Tommaso Monacelli
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