Results 41 to 50 of about 2,168 (228)
Dynamics effect of volatility index, interest rates, and commodity prices on Indonesian bond yields
Jurnal Ekonomi & Studi PembangunanSeveral factors influence the movements and dynamics of bond yields in financial markets. The determination of monetary policy, specifically the decisions regarding interest rates made by central banks, is a critical factor.
Susilo Nur Aji Cokro Darsono +4 more
doaj +1 more source
Brexit and Its Impact on EU Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin +3 more
wiley +1 more source
Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX [PDF]
This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) implied ...
Michael McAleer, Kosuke Oya, Isao Ishida
core +2 more sources
Volatility regimes for the VIX index [PDF]
Revista de Economía Aplicada, 2011 This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the evolution of the VIX index.
openaire +1 more source
Journal of Risk and Financial Management, 2022 We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was no herding during the European debt crisis and COVID.
Hang Zhang, Evangelos Giouvris
openaire +2 more sources
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper investigates the intricate relationship between climate policy uncertainty (CPU) and energy market dynamics, focusing on fossil‐based and renewable/low‐carbon energy assets. Utilising a comprehensive dataset spanning from April 1987 to December 2023, comprising monthly observations of CPU, stock market returns, spot oil prices and ...
Dimitrios Asteriou, Anastasia Dimiski
wiley +1 more source
The Rise and Fall of S&P500 Variance Futures [PDF]
Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures.
Michael McAleer +3 more
core +2 more sources
Long Memory and Fractality in the Universe of Volatility Indices
Complexity, 2022 Unlike previous studies that consider the Chicago Board of Options Exchange (CBOE) implied volatility index (VIX), we examine long memory and fractality in the universe of nine CBOE volatility indices. Using daily data from October 5, 2007, to October 5,
Bikramaditya Ghosh, Elie Bouri
doaj +1 more source
The Sector Liquidity Timing Ability of Bond Mutual Funds
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate whether bond mutual fund managers exhibit market liquidity timing skills in the U.S. corporate bond market. At the portfolio level, we find only weak evidence that bond funds adjust their overall market exposure in anticipation of changes in corporate bond market liquidity.
Zhengnan Yin +3 more
wiley +1 more source
Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations
International Journal of Finance &Economics, EarlyView.ABSTRACT We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes episodes of severe stress, such as the Global Financial Crisis, the COVID‐19 pandemic, and the Ukrainian War.
Reinhold Heinlein +2 more
wiley +1 more source