Search Results - subject:"Conditional volatility"

Oil price volatility models during coronavirus crisis : testing with appropriate models using further univariate GARCH and Monte Carlo simulation models

Bouazizi, Tarek; Lassoued, Mongi; Hadhek, Zouhaier - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 1, pp. 281-292

Persistent link: https://www.econbiz.de/10012587611

Common and idiosyncratic conditional volatility factors : theory and empirical evidence

Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - 2021 - This version: June 21, 2021

-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework … conditional volatility factor are investigated by means of a Monte Carlo study. Finally, we illustrate our approach with two …

Persistent link: https://www.econbiz.de/10012591559

Impacts of macroeconomic news announcements on corporate bond market

Jiang, Ruixiang; Wang, Bo; Wu, Chunchi; Zhang, Yue - In: Advances in Pacific Basin business, economics and finance 11 (2023), pp. 89-125

Persistent link: https://www.econbiz.de/10014338182

Forecasting volatility of Saudi stock market (TASI) and sectoral indices

Kumaran, Sunitha - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 6, pp. 819-842

Persistent link: https://www.econbiz.de/10014434354

Long memory in Bitcoin and ether returns and volatility and Covid-19 pandemic

Sosa, Miriam; Ortiz, Edgar; Cabello-Rosales, Alejandra - In: Studies in economics and finance 40 (2023) 3, pp. 411-424

Persistent link: https://www.econbiz.de/10014252615

Stock exchange volatility forecasting under market stress with MIDAS regression

Körs, Murat; Karan, Mehmet Baha - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 295-306

Persistent link: https://www.econbiz.de/10014253189

The effects of economic and financial shocks on private investment : a wavelet study of return and volatility spillovers

GVS Chiranjivi; Sensarma, Rudra - In: International review of financial analysis 90 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014470876

Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants

Bouri, Elie; Jalkh, Naji - In: International review of financial analysis 90 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014470883

Modeling volatility and dependence of European carbon and energy prices

Berrisch, Jonathan; Pappert, Sven; Ziel, Florian; … - In: Finance research letters 52 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014471974

What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models

Murphy, David - In: The journal of risk model validation 17 (2023) 2, pp. 59-81

Persistent link: https://www.econbiz.de/10014485769