Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors [PDF]
SSRN Electronic Journal, 2014 We analyze the cross-sectional relation between expected idiosyncratic volatility and stock returns. The expected idiosyncratic volatility is conditioned on macro-finance factors as well as traditional asset pricing factors. The macro-finance factors are constructed from a large set of macroeconomic and financial variables.
Nektarios Aslanidis +3 more
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Electoral volatility and political finance regulation in Colombia
Colombia Internacional, 2018 This article examines the relationship between electoral volatility and political finance regulation in Colombia. The author argues that recent political finance reforms in this country (e.g. changes in regulation of campaign donations, campaign spending,
Néstor Castañeda
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Computational finance: correlation, volatility, and markets [PDF]
WIREs Computational Statistics, 2014 Financial data by nature are inter‐related and should be analyzed using multivariate methods. Many models exist for the joint analysis of multiple financial instruments. Early models often assumed some type of constant behavior between the instruments over the time period of analysis.
Ensor, Katherine Bennett +1 more
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Influence of Real Exchange Rate on the Finance-Growth Nexus in the West African Region
Economies, 2019 This study examines the moderating effects of the real exchange rate and its volatility on the finance-growth nexus in the West African region. It also determines the marginal effects of financial development on economic growth at various levels of the ...
Kizito Uyi Ehigiamusoe, Hooi Hooi Lean
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Realized Stock-Market Volatility of the United States and the Presidential Approval Rating
Mathematics, 2023 Studying the question of whether macroeconomic predictors play a role in forecasting stock-market volatility has a long and significant tradition in the empirical finance literature.
Rangan Gupta +3 more
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Entropy Based Student’s t-Process Dynamical Model
Entropy, 2021 Volatility, which represents the magnitude of fluctuating asset prices or returns, is used in the problems of finance to design optimal asset allocations and to calculate the price of derivatives.
Ayumu Nono +2 more
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Analysis of Investor Sentiment Impact in Indonesia Composite Stock Price Index Return Volatility
Indonesian Journal of Business and Entrepreneurship, 2018 The Composite Stock Price Index (IHSG) is an index used as an indicator of stock price movements on Indonesia Stock Exchange and reference of capital market activities.
Rum Puspita Widhiarti +2 more
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The Application of Symbolic Regression on Identifying Implied Volatility Surface
Mathematics, 2023 One important parameter in the Black–Scholes option pricing model is the implied volatility. Implied volatility surface (IVS) is an important concept in finance that describes the variation of implied volatility across option strike price and time to ...
Jiayi Luo, Cindy Long Yu
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Impact of Idiosyncratic Volatility on Average Stock Returns: Evidence from Sri Lanka [PDF]
Colombo Business Journal, 2020 The complete diversification of idiosyncratic volatility is questionable due to factors such as market imperfections, investor irrationality and managerial decisions.
H. A. P. K. Perera
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UPSHOT OF DERIVATIVES ON SPOT MARKET VOLATILITY- AN INDUSTRY SPECIFIC ANALYSIS ON INDIAN STOCK MARKET [PDF]
ICTACT Journal on Management Studies, 2015 This paper attempts tocheck whether the spot market volatility variation is an act of derivatives or merely industry specific factors only. This study is based on 23 stocks of six different industries of the Indian stock market.
K. Kannan, G. Balamurugan
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