Search Results - subject:"Conditional volatility"

Investor attention and its impact on portfolio volatility and sectoral risk spillovers in Borsa Istanbul

Özdemir, Müge; Taş, Oktay - In: Borsa Istanbul Review 25 (2025) 1, pp. 107-126

investor attention intensifies asymmetric conditional volatility in the finance, technology, banking, and mining sectors …

Persistent link: https://www.econbiz.de/10015334500

Does trading mechanism shape cross-market integration? : evidence from stocks and corporate bonds on the Tel Aviv Stock Exchange

Hadad, Elroi - In: Journal of economics, finance & administrative science 30 (2025) 59, pp. 169-188

Purpose This study investigates the influence of trading mechanisms on cross-market integration between stocks and corporate bonds on the Tel Aviv Stock Exchange (TASE) during the COVID-19 crisis. Unlike the worldwide practice of trading corporate bonds on an over-the-counter (OTC) market, TASE...

Persistent link: https://www.econbiz.de/10015410411

Are REITS hedge or safe haven against oil price fall?

Hanif, Waqas; Andraz, Jorge M.; Gubareva, Mariya; … - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10014446404

Modelling stock market volatility during the COVID-19 pandemic : evidence from BRICS countries

Banumathy, Karunanithy - In: Managing global transitions : international research journal 21 (2023) 3, pp. 253-268

Persistent link: https://www.econbiz.de/10015188996

Return volatility, correlation, and hedging of green and brown stocks : is there a role for climate risk factors?

Li, Haohua; Bouri, Elie; Gupta, Rangan; Fang, Libing - 2023

Persistent link: https://www.econbiz.de/10013482253

Investigating the asymmetric behavior of oil price volatility using support vector regression

Li, Yushu; Karlsson, Hyunjoo Kim - In: Computational economics 61 (2023) 4, pp. 1765-1790

Persistent link: https://www.econbiz.de/10014327136

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil: Automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

Regular or automated processes require reliable software applications that provide accurate volatility and Value-at-Risk forecasts. The univariate and multivariate GARCH models proposed in the literature are reviewed and the suitability of selected R functions for automated forecasting systems...

Persistent link: https://www.econbiz.de/10014322586

Sectoral herding behaviour in the Indian financial market

Madaan, Veena; Shrivastava, Monica - In: Global business & economics review 26 (2022) 2, pp. 185-213

Persistent link: https://www.econbiz.de/10012887569

Asymmetric volatility spillovers of oil price and exchange rate on chemical stocks : fresh results from a VAR-TBEKK-in-mean model for Iran

Sayadi, Mohammad; Rafei, Meysam; Sheykha, Younes - In: Iranian economic review : journal of University of Tehran 26 (2022) 4, pp. 885-904

Persistent link: https://www.econbiz.de/10013531088

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

Persistent link: https://www.econbiz.de/10013474092