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

COVID-19 pandemic and Romanian stock market volatility: A GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-29

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...

Persistent link: https://www.econbiz.de/10013201025

Financial contagion: A tale of three bubbles

Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-14

The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and … empirical methods; the LPPL model to identify asset bubbles, the DCC-GARCH model to measure volatility clustering, and the …

Persistent link: https://www.econbiz.de/10012611786

Financial contagion : a tale of three bubbles

Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-14

Persistent link: https://www.econbiz.de/10012587643

COVID-19 pandemic and Romanian stock market volatility : a GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29

Persistent link: https://www.econbiz.de/10012626337

1
2
3
4
5
6
7
8
9
Next
Last