Results 31 to 40 of about 2,168 (228)

Energy pricing during the COVID-19 pandemic: Predictive information-based uncertainty indexes with machine learning algorithm

Intelligent Systems with Applications, 2021
The study investigates the impact of uncertainties on energy pricing during the COVID-19 pandemic using five uncertainty measures that include the COVID-Induced Uncertainty (CIU), Economic Policy Uncertainty (EPU), Global Fear Index (GFI); Volatility ...
Olusanya E. Olubusoye, Olalekan J. Akintande, OlaOluwa S. Yaya, Ahamuefula E. Ogbonna, Adeola F. Adenikinju   +4 more
doaj   +1 more source

Risk Spillovers in Oil-Related CDS, Stock and Credit Markets [PDF]

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There
Michael McAleer, Tengdong Liu, Shawkat Hammoudeh, Chia-Lin Chang   +3 more
core   +6 more sources

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
doaj   +1 more source

The power of ethical investment in the context of political uncertainty

Journal of Applied Economics, 2019
In this paper we analyse a set of socially responsible investment (SRI) indices against their conventional counterparts in the US context. Using a data set that spans the Obama and Trump administrations, we aim to identify whether performance and ...
Lucía Morales, Amparo Soler-Domínguez, James Hanly   +2 more
doaj   +1 more source

Instrumenty finansowe i strategie inwestycyjne oparte na zmienności – autorskie strategie i produkty finansowe neutralne rynkowo

Studia i Materiały, 2021
The paper presents a comprehensive introduction to volatility trading, from explaining the definition of volatility, through simple strategies for getting exposure to volatility, to advanced ETN products constructed from derivatives on the VIX index. The
Iwona Sroka, Kamil Seliga
doaj   +1 more source

Tracking Climate and Environmental Attention: A News‐Based Composite Index

Corporate Social Responsibility and Environmental Management, EarlyView.
ABSTRACT This study introduces the Climate and Environmental Attention Index, a composite indicator that tracks media attention to climate and environmental issues. Based on the Semantic Brand Score, the proposed index extracts significant signals from unstructured text, going beyond traditional measures of word frequency and sentiment.
Gianna Figà‐Talamanca, Andrea Fronzetti Colladon, Barbara Guardabascio, Ludovica Segneri   +3 more
wiley   +1 more source

Term Spread Volatility as a Leading Indicator of Economic Activity

Journal of Forecasting, EarlyView.
ABSTRACT In this paper, we examine the macroeconomic predictive power of the volatility of the US Treasury yield curve slope (term spread volatility). Our forecasting exercise shows that US term spread volatility has significant predictive power for US industrial production and employment growth.
Anastasios Megaritis, Dimitrios Bakas, Theodora Bermpei, Athanasios Triantafyllou   +3 more
wiley   +1 more source

Identifying Drivers of Deviations From Rational Expectations: Using a New Irrational Index for Inflation Forecasts

Journal of Forecasting, EarlyView.
ABSTRACT Most studies on inflation forecasts have studied behavioral biases, informational frictions, or external shocks in isolation, without considering how these factors jointly drive deviations from rational expectations. We therefore adopt an integrated framework that simultaneously estimates the behavioral, informational, and external ...
Belen Chocobar, Peter Claeys
wiley   +1 more source

Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models

Mathematics, 2021
In the present paper, we test the use of Markov-Switching (MS) models with time-fixed or Generalized Autoregressive Conditional Heteroskedasticity (GARCH) variances. This, to enhance the performance of a U.S. dollar-based portfolio that invest in the S&P
Oscar V. De la Torre-Torres, Francisco Venegas-Martínez, Mᵃ Isabel Martínez-Torre-Enciso   +2 more
doaj   +1 more source

The Impact of Uncertainty on Forecasting the US Economy

Journal of Forecasting, EarlyView.
ABSTRACT This paper examines the predictive value of uncertainty measures for key macroeconomic indicators across multiple forecast horizons. We evaluate how different uncertainty proxies—economic policy uncertainty (EPU), VIX, geopolitical risk, and measures of macroeconomic and financial uncertainty—enhance forecast accuracy for industrial production,
Angelica Ghiselli
wiley   +1 more source