Search Results - subject:"Volatility."

Carbon taxation and electricity price dynamics : empirical evidence from the Australian market

Comincioli, Nicola; Guerini, Mattia; Vergalli, Sergio - In: Environmental and resource economics 87 (2024) 12, pp. 3131-3161

Persistent link: https://www.econbiz.de/10015177190

Predicting expected idiosyncratic volatility : empirical evidence from ARFIMA, HAR, and EGARCH models

Xiao, Chuxuan; Huang, Winifred; Newton, David P. - In: Review of quantitative finance and accounting 63 (2024) 3, pp. 979-1006

Persistent link: https://www.econbiz.de/10015178466

Persistent and transient variance components in option pricing models with variance-dependent Kernel

Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32

Persistent link: https://www.econbiz.de/10015179565

Forecasting oil prices : can large BVARs help?

Zhang, Bo; Nguyen, Bao; Sun, Chuanwang - In: Energy economics 137 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015181793

Navigating volatility spillover amidst investor extreme fear in stablecoin and financial markets

Ti, Alicia; Husodo, Zaäfri Ananto - In: Cogent economics & finance 12 (2024) 1, pp. 1-21

volatility spillover across markets remains uncertain. This research investigates the influence of investor sentiment … classification on the volatility spillover from stablecoins to conventional financial markets. Empirical findings reveal the role of … stablecoins as net volatility receivers from financial assets during extreme fear sentiment conditions, suggesting that …

Persistent link: https://www.econbiz.de/10015325996

What fuels the volatility of electricity prices?

Saretto, Alessio; Shcherbakova, Anastasia; Lin, Jeremy - 2024

Persistent link: https://www.econbiz.de/10015206937

Does regime-dependent volatility drive dynamism in investor herding?

Jindal, Komal; Bamba, Meera; Aggarwal, Mamta - In: Colombo business journal : international journal of … 15 (2024) 1, pp. 54-79

Persistent link: https://www.econbiz.de/10015210672

Interconnectedness and spillover effects amongst stock markets of the US, China, Germany, Japan and India using DCC-GARCH model and Diebold yilmaz method

Agarwal, Archana; Dhankhar, Nidhi; Mehla, Sunita - In: Colombo business journal : international journal of … 15 (2024) 2, pp. 162-189

Persistent link: https://www.econbiz.de/10015210715

Market tempo : decoding information speed across global stock markets

Erfanian, Azadeh; Ariff, Mohamed; Bhatti, Muhammad Ishaq - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10015211523

Dynamic spillover between green cryptocurrencies and stocks : a portfolio implication

Yousaf, Imran; Cui, Jinxin; Ali, Shoaib - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10015211784