Results 41 to 50 of about 1,041,681 (327)
The Impact of Covid-19 on Emerging Stock Market Volatility: Empirical Evidence from Borsa Istanbul
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2020 The study aims to examine the impact of COVID-19 on the Turkish stock market volatility and reveal how different industries are affected by COVID-19. Volatility between pre-COVID and COVID periods are compared across industries to understand the impact ...
İbrahim Yağlı
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Forecasting stock market volatility: the role of gold and exchange rate
AIMS Mathematics, 2020 The objective of our paper is to show that gold and exchange rate volatility is predictive of stock volatility from both in-sample and out-of-sample perspectives. There exists very significant predictability from gold and exchange rate volatility to Hang
Zhifeng Dai, Huiting Zhou, Xiaodi Dong
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Applied Mathematics in Science and Engineering, 2023 The forward-looking policy is useful for joint decision-making between public and monetary authorities. The study calculates the monetary policy transparency index, inflation expectations, and their volatility spillover effects at a data-driven angle ...
Qizhi He, Mati ur Rahman, Cuihua Xie
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The memory of volatility [PDF]
Quantitative Finance and Economics, 2018 The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been considered. Estimates in the literature range roughly between 0.4 and 0.6 - that is from the higher stationary to ...
Wenger, Kai +2 more
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Local volatility under rough volatility
Mathematical Finance, 2023 AbstractSeveral asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small‐maturity regime), providing a better understanding of the shapes of the volatility surface induced by rough volatility models, supporting their calibration power to SP500 option data.
Florian Bourgey +3 more
openaire +4 more sources
Borsa Istanbul Review, 2021 This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets.
Walid Mensi +3 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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How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?
International Journal of Economics and Financial Issues, 2017 This paper investigates how volatility of characteristics-sorted portfolios respond to macroeconomic volatility based on Egyptian data covering the period July 2002 – June 2015. The paper uses three characteristics, namely size, book-to-market ratio and
Ahmed Al Samman, Mahmoud Moustafa Otaify
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Journal of Financial Reporting & Accounting, 2020 Purpose Corporate social responsibility (CSR) is considered one of the crucial branding and promotional tools for banks to legitimise their role in society to become socially and environmentally responsible corporate citizen.
Mashiyat Tasnia +2 more
semanticscholar +1 more source
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
, 1993 The authors find support for a negative relation between conditional expected monthly return and conditional variance of monthly return using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations ...
L. Glosten, R. Jagannathan, D. Runkle
semanticscholar +1 more source