Search Results - subject:"conditional volatility"

Effects of conditional oil volatility on exchange rate and stock markets returns

Bouazizi, Tarek; Mrad, Fatma; Hamida, Arafet; Nafti, Sawsen - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 2, pp. 53-71

Persistent link: https://www.econbiz.de/10013190003

Conditional volatility targeting strategy considering jump effects : evidence from sustainable ESG equity index

Huang, Jr-Wei; Yang, Sharon S.; Cheng, Hung-Wen - In: Pacific-Basin finance journal 88 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10015324171

Carbon emissions pricing : linkages between EU ETS spot and future prices and completeness of EU ETS market

Mondal, Saikat; Pradhan, Rudra Prakash; Madhavan, Vinodh; … - In: Journal of emerging market finance 23 (2024) 4, pp. 450-470

Persistent link: https://www.econbiz.de/10015159141

Inventory information arrival and the crude oil futures market

Chebbi, Tarek; Hmedat, Waleed - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 1513-1533

Persistent link: https://www.econbiz.de/10014533269

Hidden truncation model with heteroskedasticity : S&P 500 index returns reexamined

Belhachemi, Rachid - In: Studies in economics and finance 41 (2024) 5, pp. 1085-1105

Persistent link: https://www.econbiz.de/10015199624

A new channel for global volatility propagation

Chen, Shuning; Wang, Jian-xin - In: The European journal of finance 30 (2024) 5, pp. 481-502

Persistent link: https://www.econbiz.de/10014547893

GARCH-M model with an asymmetric risk premium : distinguishing between "good" and "bad" volatility periods

Trifonov, Juri; Potanin, Bogdan - In: International review of financial analysis 91 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10014446930

Conditional volatility and correlations between Sukuks, stocks, and gold in the GCC region

Hammad, Walaa; Munir, Qaiser; Teplova, Tamara V.; Ul … - In: International journal of economics and business … 28 (2024) 3/4, pp. 398-416

Persistent link: https://www.econbiz.de/10015075063

Hidden truncation model with heteroskedasticity: S&P 500 index returns reexamined

Belhachemi, Rachid - In: Studies in Economics and Finance 41 (2024) 5, pp. 1085-1105

Purpose This paper aims to introduce a heteroskedastic hidden truncation normal (HTN) model that allows for conditional volatilities, skewness and kurtosis, which evolve over time and are linked to economic dynamics and have economic interpretations. Design/methodology/approach The model...

Persistent link: https://www.econbiz.de/10015356122

Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence

Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - 2021

-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework … conditional volatility factor are investigated by means of a Monte Carlo study. Finally, we illustrate our approach with two …

Persistent link: https://www.econbiz.de/10012606023