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subject:"Volatility"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
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307
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Gupta, Rangan
7
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The North American journal of economics and finance : a journal of financial economics studies
Energy economics
142
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125
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116
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115
International review of economics & finance : IREF
110
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102
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102
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43
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39
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ECONIS (ZBW)
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1
The risk spillover between China's economic policy uncertainty and commodity markets : evidence from frequency spillover and quantile connectedness approaches
Jiang, Yonghong
;
Ao, Zhiming
;
Mo, Bin
- In:
The North American journal of economics and finance : a …
66
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014483627
Saved in:
2
The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market
Gao, Zhenbin
;
Zhang, Jie
- In:
The North American journal of economics and finance : a …
66
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014483735
Saved in:
3
Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method
Wang, Xiangning
;
Huang, Qian
;
Zhang, Shuguang
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014484008
Saved in:
4
Forecasting VIX using two-component realized EGARCH model
Wu, Xinyu
;
Zhao, An
;
Liu, Li
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014484064
Saved in:
5
Extreme dependence and spillovers between uncertainty indices and stock markets : does the US market play a major role?
Mensi, Walid
;
Kamal, Md Rajib
;
Xuan Vinh Vo
;
Kang, Sang Hoon
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014485327
Saved in:
6
Uncertainty about interest rates and the real economy
Qadan, Mahmoud
;
Shuval, Kerem
;
David, Or
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014485443
Saved in:
7
Cross-market information transmission and stock market volatility prediction
Wang, Yide
;
Chen, Zan
;
Ji, Xiaodong
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014485465
Saved in:
8
Inflation risk and stock returns : evidence from US aggregate and sectoral markets
Chiang, Thomas C.
;
Chen, Pei-Ying
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014485580
Saved in:
9
Multiperiod portfolio allocation : a study of volatility clustering, non-normalities and predictable returns
Simonato, Jean-Guy
;
Denault, Michel
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014486271
Saved in:
10
Time-varying risk spillovers in Chinese stock market : new evidence from high-frequency data
Zhou, Dong-hai
;
Liu, Xiao-xing
;
Tang, Chun
;
Yang, Guang-yi
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014246902
Saved in:
11
Financial development, financial instability, and fiscal policy volatility : international evidence
Ma, Yong
;
Lv, Lin
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-32
Persistent link: https://www.econbiz.de/10014246920
Saved in:
12
Predictability of tail risks of Canada and the U.S. over a century : the role of spillovers and oil tail risks
Salisu, Afees A.
;
Gupta, Rangan
;
Pierdzioch, Christian
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013413542
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13
Evolving United States stock market volatility : the role of conventional and unconventional monetary policies
Plakandaras, Vasilios
;
Gupta, Rangan
;
Balcilar, Mehmet
; …
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013449139
Saved in:
14
The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic
Zhang, Yi
;
Zhou, Long
;
Chen, Yajiao
;
Liu, Fang
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013449345
Saved in:
15
Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock : evidence from multiscale quantile perspectives
Zhu, Huiming
;
Chen, Yiwen
;
Ren, Ying-hua
;
Xing, Zhanming
; …
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-46
Persistent link: https://www.econbiz.de/10013449362
Saved in:
16
Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries : evidence from wavelet quantile regression analysis
Zhu, Huiming
;
Yu, Dongwei
;
Hau, Liya
;
Wu, Hao
;
Ye, Fangyu
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013449369
Saved in:
17
Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA
Golitsis, Petros
;
Gkasis, Pavlos
;
Bellos, Sotirios K.
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014225729
Saved in:
18
Bond markets integration in the EU : new empirical evidence from the Eastern non-euro member-states
Stoupos, Nikolaos
;
Kiohos, Apostolos
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014225792
Saved in:
19
The effects of financial openness and financial efficiency on Chinese macroeconomic volatilities
Yuan, Shenguo
;
Wu, Zhouheng
;
Liu, Lanfeng
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014225798
Saved in:
20
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
21
Time-frequency transmission mechanism of EPU, investor sentiment and financial assets : a multiscale TVP-VAR connectedness analysis
Qiao, Xingzhi
;
Zhu, Huiming
;
Zhang, Zhongqingyang
;
Mao, …
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014225822
Saved in:
22
The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets : evidence from the time-frequency co-movements
Dash, Saumya Ranjan
;
Maitra, Debasish
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013534037
Saved in:
23
Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic
Nur Ain Shahrier
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013534059
Saved in:
24
Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility
Nonejad, Nima
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013534202
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25
News and intraday jumps : evidence from regularization and class imbalance
Caporin, Massimiliano
;
Poli, Francesco
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013534219
Saved in:
26
Twitter's daily happiness sentiment, economic policy uncertainty, and stock index fluctuations
Chen, Wen-Yi
;
Chen, Mei-Ping
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013539078
Saved in:
27
The asymmetric effect of crude oil prices on stock prices in major international financial markets
Jiang, Wei
;
Liu, Yan
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012821296
Saved in:
28
Effectiveness of augmented dollar-cost averaging
Kapalczynski, Anna
;
Lien, Da-hsiang Donald
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012821443
Saved in:
29
Estimating yield spreads volatility using GARCH-type models
Kim, Jong-Min
;
Kim, Dong H.
;
Jung, Hojin
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012822078
Saved in:
30
Risk spillover and network connectedness analysis of China's green bond and financial markets : evidence from financial events of 2015-2020
Gao, Yang
;
Li, Yangyang
;
Wang, Yaojun
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012822084
Saved in:
31
Stock market reactions to upside and downside volatility of Bitcoin : a quantile analysis
Ahmed, Walid M. A.
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012822118
Saved in:
32
Jump Interdependencies : stochastic linkages among international stock markets
Kshatriya, Saranya
;
Prasanna, Krishna
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012822184
Saved in:
33
Dynamic time series momentum of cryptocurrencies
Borgards, Oliver
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012822211
Saved in:
34
Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets : evidence from rolling window analysis
Zhu, Huiming
;
Chen, Weiyan
;
Hau, Liya
;
Chen, Qitong
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012822243
Saved in:
35
Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence
Pérez Rodríguez, Jorge V.
;
Andrada Félix, Julián
; …
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012822266
Saved in:
36
Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics : evidence from the Chinese stock market
Shi, Huai-Long
;
Zhou, Wei-Xing
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013186512
Saved in:
37
What drives dynamic connectedness of the US equity sectors during different business cycles?
Ngene, Geoffrey M.
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013186555
Saved in:
38
Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo
;
Liu, Lan
;
Wang, Da
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013187623
Saved in:
39
Forecasting stock market volatility : can the risk aversion measure exert an important role?
Dai, Zhifeng
;
Chang, Xiaoming
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013188175
Saved in:
40
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Saved in:
41
Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang
;
Liu, Bing-Yue
;
Cuñado Eizaguirre, Juncal
; …
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
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42
A fractional cointegration var analysis of exchange rate dynamics
Gil-Alaña, Luis A.
;
Carcel, Hector
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012658798
Saved in:
43
U.S. uncertainty and Asian stock prices : evidence from the asymmetric NARDL model
Liang, Chin Chia
;
Troy, Carol
;
Rouyer, Ellen
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012659104
Saved in:
44
Measuring extreme risk spillovers across international stock markets : a quantile variance decomposition analysis
Su, Xianfang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012660129
Saved in:
45
Leisure and long-run risks : an empirical evaluation on value premium puzzle
Zhang, Xiang
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-27
Persistent link: https://www.econbiz.de/10012664492
Saved in:
46
Dependent relationships between Chinese commodity markets and the international financial market : evidence from quantile time-frequency analysis
Zhu, Huiming
;
Meng, Liang
;
Ge, Yajing
;
Hau, Liya
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-31
Persistent link: https://www.econbiz.de/10012664544
Saved in:
47
Forecasting risk in the US Dollar exchange rate under volatility shifts
Anjum, Hassan
;
Malik, Farooq
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012664814
Saved in:
48
Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
Saved in:
49
What drives the liquidity premium in the Chinese stock market?
An, Jiyoun
;
Ho, Kin-Yip
;
Zhang, Zhaoyong
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012665482
Saved in:
50
The empirical linkages among market returns, return volatility, and trading volume : evidence from the S&P 500 VIX Futures
Kao, Yu-Sheng
;
Chuang, Hwei-lin
;
Ku, Yu-Cheng
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012667173
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