Results 11 to 20 of about 3,807,054 (238)
Causality between stock market and “fear gauge” indices: An empirical analysis with E-statistics
Applied Finance Letters, 2018 This study investigates empirically the validity of three hypotheses that have been advanced to explain the tendency of stock market and volatility indices to move in opposite directions, using the notion of Brownian distance correlation.
Panos Fousekis, Vasilis Grigoriadis
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The effects of epidemics on capital markets volatility: A case study of Borsa Istanbul [PDF]
CES Working Papers, 2021 This study examines the effects of epidemics like H1N1, MERS and EBOLA on the volatility of capital markets through the case of Borsa Istanbul. The data set covers the period from 1/2/2009 – 8/11/2020 and consists of daily frequency observations.
Fatih GÜZEL, Melek ACAR
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International Journal of Financial Studies, 2022 The high volatility and energy usage of rare earths have raised sustainable and financial concerns for environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare earths elements,
Inzamam UI Haq +6 more
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Stochastic and Dynamic Interaction between Islamic Volatility Index and Volatility Indices [PDF]
Türkiye İslam İktisadı DergisiIntegration in financial markets offers opportunities for free flow of information and capital for international investments. However, this also poses challenges for maintaining effective international portfolio diversification due to heightened market ...
Halilibrahim Gökgöz +2 more
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Will Oil Price Volatility Cause Market Panic?
Energies, 2022 It is generally known that violent oil price volatility will cause market panic; however, the extent to which is worthy of empirical test. Firstly, this paper employs the TVP-VAR model to analyze the time-varying impacts of oil price volatility on the ...
Min Hong, Xiaolei Wang, Zhenghui Li
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Reconstructing Volatility: Pricing of Index Options under Rough Volatility
, 2023 Avellaneda et al. (2002, 2003) pioneered the pricing and hedging of index options – products highly sensitive to implied volatility and correlation assumptions – with large deviations methods, assuming local volatility dynamics for all components of the ...
Friz, Peter K. +3 more
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Testing the volatility spillover between crude oil price and the U.S. stock market returns [PDF]
Management Science Letters, 2019 The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016.
Mehmet Kondoz +3 more
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Volatility of Jakarta Islamic Index
Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah, 2015 Volatility of Jakarta Islamic Index. This study investigates the volatility of Jakarta Islamic Index (JII) in Jakarta Stock Exchange. The method that used in this research is used a simple statistical analysis. The normality of JII return is analyzed to
Hendri Tanjung
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Presenting a new hybrid method for predicting the Stock Exchange price inde [PDF]
تحقیقات مالی, 2017 The trend of the stock price index, has taken as one of the investment criteria consistently. Because of the two components of nonlinear and time series price index volatility, in this study, a new hybrid model presented that can predict move and change ...
Diako Dorodi, Seyed Babak Abrahimi
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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
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