Results 71 to 80 of about 2,168 (228)
Can ETFs affect U.S. financial stability? A quantile cointegration analysis
Financial InnovationThis study evaluates whether exchange traded funds (ETFs) threaten financial market stability by testing two hypotheses relating the growing importance of ETFs to increased market volatility and rising equity valuations.
Juan Laborda +2 more
doaj +1 more source
The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment
Energies, 2019 The oil price time series data can be affected by major global political and economic events, which would result in structural changes that could lead to biased estimations.
Jeng-Bau Lin, Wei Tsai
doaj +1 more source
Economic policy uncertainty and international corporate leasing
Journal of Financial Research, EarlyView.Abstract We examine the effect of economic policy uncertainty (EPU) on the corporate lease decision using an international sample of 19 countries. The use of operating leases increases when EPU is heightened. The documented leasing increase is more pronounced for financially constrained firms, firms facing greater operating volatility, or those that ...
Goutham Abotula +2 more
wiley +1 more source
Simple Expected Volatility (SEV) Index: Application to SET50 Index Options [PDF]
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility.
Michael McAleer +1 more
core
Asymmetric effects of volatility risk on stock returns : evidence from VIX and VIX futures [PDF]
, 2016 First, to separate different market conditions, this study focuses on how VIX spot (VIX), VIX futures (VXF), and their basis (VIX-VXF) perform different roles in asset pricing.
Sandri, Matteo +6 more
core +1 more source
Investor sentiment and stock market returns: A comparative analysis of mood, word, and trade
Journal of Financial Research, EarlyView.Abstract We examine and compare the return predictability of mood‐, word‐, and trade‐based sentiment measures across 18 international stock markets. Empirical results reveal that the trade‐based measure performs strongly across many settings; the word‐based measure contributes important complementary information, including in cases where the trade ...
Lan Xiang, Wenzhao Wang
wiley +1 more source
Realised volatility estimators
, 2014 Includes bibliographical references.This dissertation is an investigation into realised volatility (RV) estimators. Here, RV is defined as the sum-of-squared-returns (SSR) and is a proxy for integrated volatility (IV), which is unobservable.
Königkrämer, Sören
core
Heterogeneity in Manufacturing Growth Risk
Journal of Money, Credit and Banking, EarlyView.Abstract We analyze differences in output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multilevel quantile regression approach, we find that industries exhibit heterogeneous increases of downside risk in times of tight financial conditions, while upside potential remains stable.
DAAN OPSCHOOR +2 more
wiley +1 more source
, 2022 The monthly data of the VIX index, S&P500 index, and Nasdaq Composite indexTHIS DATASET IS ARCHIVED AT DANS/EASY, BUT NOT ACCESSIBLE HERE.
Huu Manh, N (via Mendeley Data)
core +1 more source
CONSTRUCTION AND PROPERTIES OF VOLATILITY INDEX FOR WARSAW STOCK EXCHANGE
Quantitative Methods in Economics, 2014 Volatility indices became a important factors on capital markets and are considered as fear factors. First volatility index VIX, was defined for Chicago Board of Trade in 1993, and was developed in 2003.
Tomasz Wiśniewski
doaj