Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index [PDF]
Entropy, 2019 This paper employs the Baidu Index as the novel proxy for unexpected information demand and shows that this novel proxy can explain the volatility clustering of Chinese stock returns.
Gang Chu +3 more
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Exploring Volatility clustering financial markets and its implication [PDF]
Journal of Economic and Social Development (Varaždin), 2023 Volatility clustering is a prominent feature of financial markets exhibiting persistent fluctuations in volatility over time. Its characteristics such as long memory, asymmetry and varying cluster durations pose challenges for market participants ...
Samuel Tabot Enow
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Stylized facts, volatility dynamics and risk measures of cryptocurrencies
Journal of Business Economics and Management, 2023 This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of cryptocurrencies’ returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among ...
Rasa Bruzgė +5 more
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Portfolio Diversification Based on Clustering Analysis [PDF]
Iranian Journal of Accounting, Auditing & Finance, 2023 Forming an investment portfolio is one of the main concerns of managers and investors who strive in order to create the best investment portfolio to get the best return from the market.
Marziyeh Nourahmadi, Hojjatollah Sadeqi
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Modeling the Volatility of the Iranian Asset Markets Using Factor Multivariate Stochastic Volatility Model [PDF]
مدلسازی اقتصادسنجی, 2021 Using the monthly data of the returns of 5 assets during 05/31/2011 to 02/28/2021, the volatilities of Iranian asset markets have been modeled in this paper.
reza Taleblou, Parisa Mohajeri
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Modeling Stock Market Volatility Using Univariate GARCH Models: Evidence from Bangladesh [PDF]
International Journal of Business and Development Studies, 2016 This paper investigates the nature of volatility characteristics of stock returns in the Bangladesh stock markets employing daily all share price index return data of Dhaka Stock Exchange (DSE) and Chittagong Stock Exchange (CSE) from 02 January 1993 to ...
Md Abu Hasan, Md Abdul Wadud
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A New Viterbi-Based Decoding Strategy for Market Risk Tracking: an Application to the Tunisian Foreign Debt Portfolio during 2010-2012 [PDF]
Statistika: Statistics and Economy Journal, 2022 In this paper, a novel market risk tracking and prediction strategy is introduced. Our approach takes volatility clustering into account and allows for the possibility of regime shifts in the intra-portfolio's latent correlation structure.
Mohamed Saidane
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IEEE Access, 2020 The volatility clustering has critical implications in financial risk management. This paper aims to analyze the existence and cause of volatility clustering in financial time-series using different measures simultaneously.
Kyungwon Kim, Jae Wook Song
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Entropy, 2020 The main purpose of our paper is to evaluate the impact of the COVID-19 pandemic on randomness in volatility series of world major markets and to examine its effect on their interconnections.
Salim Lahmiri, Stelios Bekiros
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ESTIMATING VOLATILITY CLUSTERING USING GJR-GARCH MODEL: A CASE STUDY FOR GERMAN STOCK MARKET [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, 2022 The purpose of this article is to concentrate on the stylized data in the financial series of the major index DAX of the German stock market. Moreover, we investigated the effects of positive and negative news on the volatility of the stock market of ...
RACHANA BAID +4 more
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