Search Results - subject:"Volatility clustering"

Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital

Cevik, Emrah Ismail; Kenç, Turalay; Goodell, John W.; … - In: International review of economics & finance : IREF 97 (2025), pp. 1-23

Persistent link: https://www.econbiz.de/10015327028

Estimation and prediction of commodity returns using long memory volatility models

Basira, Kisswell; Dhliwayo, Lawrence; Chinhamu, Knowledge; … - In: Risks : open access journal 12 (2024) 5, pp. 1-20

Modelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity price returns are crucial. The body of research on statistical models that can fully reflect the empirical characteristics of commodity price returns is lacking. The main aim...

Persistent link: https://www.econbiz.de/10014636621

Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios

Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427

Persistent link: https://www.econbiz.de/10014232660

Which is Worse : Heavy Tails or Volatility Clusters?

Traut, Joshua; Schadner, Wolfgang - 2023

diversification, and how an acknowledgment of volatility clustering can enhance the quality of risk models. The analysis is carried …

Persistent link: https://www.econbiz.de/10014350927

Stylized facts, volatility dynamics and risk measures of cryptocurrencies

Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of business economics and management 24 (2023) 3, pp. 527-550

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … expect in the worst case scenario. Our results confirm the existence of predictability, volatility clustering, and …

Persistent link: https://www.econbiz.de/10014420375

Stylized facts, volatility dynamics and risk measures of cryptocurrencies

Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of Business Economics and Management (JBEM) 24 (2023) 3, pp. 527-550

Persistent link: https://www.econbiz.de/10015401200

Equity markets volatility clustering : a multiscale analysis of intraday and overnight returns

Zhao, Xiaojun; Zhang, Na; Zhang, Yali; Xu, Chao; Shang, … - In: Journal of empirical finance 77 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014578531

How the real estate indexes have performed during the COVID-19 crisis? : multifractal analysis revisited with wavelet

Zaouga, Ons; Loukil, Nadia - 2024

Persistent link: https://www.econbiz.de/10015393703

Research on jumps and volatility in China's carbon market

Chen, Xiangjun; Yan, Bo - In: Economic change & restructuring 57 (2024) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10014491073

Spatial market inefficiency in housing market : a spatial quantile regression approach

Chae, Jiyoung; Bera, Anil K. - In: The journal of real estate finance and economics 69 (2024) 1, pp. 70-99

Persistent link: https://www.econbiz.de/10015080934