Search Results - subject:"Volatility clustering"

Early warning signs of financial market turmoils

Bertschinger, Nils; Pfante, Oliver - In: Journal of risk and financial management : JRFM 13 (2020) 12/301, pp. 1-24

Volatility clustering and fat tails are prominently observed in financial markets. Here, we analyze the underlying …

Persistent link: https://www.econbiz.de/10012392414

News-driven expectations and volatility clustering

Inoua, Sabiou M. - In: Journal of risk and financial management : JRFM 13 (2020) 1/17, pp. 1-14

Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account for...

Persistent link: https://www.econbiz.de/10012173087

Symmetric and Asymmetric Volatility Clustering Via GARCH Family Models: An Evidence from Religion Dominant Countries

Khan, Muhammad Salman; Khan, Kanwal Iqbal; Mahmood, Shahid - In: Paradigms 13 (2019) 1, pp. 20-25

Volatility clustering and asymmetry are considered as an essential element in time series data analysis for portfolio … managers. This study is conducted to analyze the volatility clustering and asymmetry occurrence by employing different GARCH … findings of the study show that volatility clustering increases the asymmetric comportment of daily stock market returns. We …

Persistent link: https://www.econbiz.de/10012027052

Market efficiency and volatility within and across cryptocurrency benchmark indexes

Koutsoupakis, Dimitrios - In: Journal of risk 24 (2022) 4, pp. 23-46

Persistent link: https://www.econbiz.de/10014546345

Supply chain management based on volatility clustering : the effect of CBDC volatility

Ding, Shusheng; Cui, Tianxiang; Wu, Xiangling; Du, Min - In: Research in international business and finance 62 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10014247254

Dynamics of Indian stock market volatility

Narula, Isha - In: International journal of innovation & sustainable … 16 (2022) 2, pp. 155-171

Persistent link: https://www.econbiz.de/10013256109

Social interaction, volatility clustering, and momentum

He, Xue-zhong; Li, Kai; Santi, Caterina; Shi, Lei - In: Journal of economic behavior & organization : JEBO 203 (2022), pp. 125-149

Persistent link: https://www.econbiz.de/10014227916

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial Studies 22 (2018) 1 (79), pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily frequency for European and US financial markets. In the study we included fourteen stock indices (twelve Europeans and two Americans), during March 2013 - January 2017. The results...

Persistent link: https://www.econbiz.de/10012484762

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10011964941

Dynamics of equity factor returns and asset pricing

Stoyanov, Stoyan V.; Fabozzi, Francesco A. - In: Journal of financial econometrics 19 (2021) 1, pp. 178-201

Persistent link: https://www.econbiz.de/10012504326