Search Results - subject:"Volatility and correlation"

Are exchange rates absorbers of global oil shocks? : a generalized structural analysis

Schwartz, Andrew; Liu, Xiaochun; Stewart, Shamar L. - In: Journal of international money and finance 146 (2024), pp. 1-46

Persistent link: https://www.econbiz.de/10015076032

Forecasting nonlinear dependency between cryptocurrencies and foreign exchange markets using dynamic copula : evidence from GAS models

Mili, Mehdi; Bouteska, Ahmed - In: The journal of risk finance : JRF 24 (2023) 4, pp. 464-482

Persistent link: https://www.econbiz.de/10014338629

Forecasting the dynamic relationship between crude oil and stock prices since the 19th century

Ivanovski, Kris; Hailemariam, Abebe - In: Journal of commodity markets 24 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013392386

Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model

Chen, Rongda; Xu, Jianjun - In: Energy economics 78 (2019), pp. 379-391

Persistent link: https://www.econbiz.de/10012159962

Behavior of realized volatility and correlation in exchange markets

Safari, Amir; Seese, Detlef - In: International Econometric Review (IER) 2 (2010) 2, pp. 73-96

We study time-varying realized volatility and related correlation measures as proxies for the true volatility and … upside co-movements are greater than downside ones. Moreover we study the association between realized volatility and … correlation. We investigate measures of Two-Scale realized Absolute Volatility (TSAV) and correlation (TSACORxy) which are helpful …

Persistent link: https://www.econbiz.de/10012610933

Behavior of realized volatility and correlation in exchange markets

Safari, Amir; Seese, Detlef - In: International Econometric Review (IER) 2 (2010) 2, pp. 73-96

Persistent link: https://www.econbiz.de/10009228716

High-Frequency and Model-Free Volatility Estimators

Ślepaczuk, Robert; Zakrzewski, Grzegorz - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2009

This paper focuses on volatility of financial markets, which is one of the most important issues in finance, especially with regard to modeling high-frequency data. Risk management, asset pricing and option valuation techniques are the areas where the concept of volatility estimators...

Persistent link: https://www.econbiz.de/10008469059

Couverture du risque de volatilité et de corrélation dans un portefeuille

Malongo, Hassan - Université Paris-Dauphine (Paris IX) - 2014

This work focuses on modeling the dynamics of volatilities and correlations between financial assets returns. After a literature review of univariate and multivariate GARCH-type models, the author establishes results for the existence and uniqueness of stationary solutions of dynamic...

Persistent link: https://www.econbiz.de/10010938598