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EXCHANGE RATE VOLATILITY: AN EMPIRICAL STUDY FOR STATE OF KUWAIT
Вісник Київського національного університету імені Тараса Шевченка. Серія Економіка, 2018 As an oil exporting nation Kuwait suffers from the well-known issue called the Resource Curse given the high reliance on oil revenues for economic growth and development.
K. Lawler, S. Sadiq
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Influencing Factors Analysis of Crude Oil Futures Price Volatility Based on Mixed-Frequency Data
Applied Sciences, 2020 This article takes into account the form of mixed data as well as the peak and thick tail characteristics contained in the data characteristics, expands the GARCH-MIDAS (Generalized Autoregressive Conditional Heteroskedasticity-Mixed Data Sampling) model,
Congxin Wu +4 more
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Maximum likelihood approach for several stochastic volatility models
, 2012 Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable.
Camprodon, Jordi, Perelló, Josep
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Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India
Binus Business Review, 2010 Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets.
Martin Martin, Yunita Yunita
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Good Volatility, Bad Volatility and Option Pricing [PDF]
SSRN Electronic Journal, 2016 Advances in variance analysis permit the splitting of the total quadratic variation of a jump-diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the
Feunou, Bruno, Okou, Cédric
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Proposing blockchain based framework to mitigate VUCA realm problems for automobile life cycle
Frontiers in BlockchainIn today’s automotive industry, characterized by demand volatility, process uncertainty, supply chain complexity, and information ambiguity, achieving operational excellence has become increasingly challenging. To address these issues, we propose a novel
Osama Ahmed, Hiroshi Kamabe
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Volatility term structures in commodity markets [PDF]
, 2019 In this study, we comprehensively examine the volatility term structures in commodity markets. We model state‐dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity ...
Goyal A. +3 more
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A simple joint model for returns, volatility and volatility of volatility
Journal of Econometrics, 2023 We propose a model that allows for conditional heteroskedasticity in the volatility of asset returns and incorporates current return information into the volatility nowcast and forecast. Our model can capture all stylised facts of asset returns even with Gaussian innovations and is simple to implement.
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Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models
İstanbul İktisat DergisiIn today’s world where globalization is intensely experienced, differences in risk perception, developments in capital markets, and the negativities faced in the markets due to uncertainty are very important when researching the structures of the stock ...
İpek M. Yurttagüler
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Eco-Efficiency and Stock Market Volatility: Emerging Markets Analysis
Administrative Sciences, 2021 Climate change, the accelerated industrialization of emerging countries, as well as the growing demand for transparency from stakeholders, are all factors that influence the environmental performance of companies. Thus, eco-efficient behavior can improve
Alicia Fernanda Galindo-Manrique +2 more
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