Search Results - subject:"leverage effect"

The business cycle's impact on volatility forecasting : recapturing intrinsic jump components

Chen, Son-nan; Hsu, Pao-Peng - In: Risks : open access journal 13 (2025) 11, pp. 1-17

This study investigates the leverage effect and realized volatility (RV) of stocks in the presence of asymmetric jumps … stronger negative RSV shocks, amplifying the leverage effect. Moreover, the predictive accuracy of RV critically depends on the …

Persistent link: https://www.econbiz.de/10015556015

Examining Chinese volume-volatility nexus : a regime-switching perspective

Wang, Zhenxin; Wang, Shaoping; Yan, Yayi; Xia, Yingcun - In: Economic modelling 144 (2025), pp. 1-12

Persistent link: https://www.econbiz.de/10015195150

Modeling gasoline price volatility

Kamocsai, László; Ormos, Mihály - In: Finance research letters 73 (2025), pp. 1-9

Persistent link: https://www.econbiz.de/10015210877

An asymmetric volatility analysis of the negative oil price during the first COVID-19 wave

Birnstengel, Carolin; Süssmuth, Bernd - In: International review of financial analysis 100 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015605457

Empirische Analyse des Zusammenhangs zwischen Rendite und impliziter Volatilität am deutschen Aktienmarkt

Mauer, Annika; Nastansky, Andreas - 2025

In diesem Beitrag wird empirisch untersucht, ob die zeitliche Entwicklung der Renditen des Deutschen Aktienindex (DAX) und die Zuwächse des Volatilitätsindex VDAX-NEW wechselseitig erklärt und vorhergesagt werden können. Der VDAX-NEW bildet dabei die von den Markteilnehmern erwartete...

Persistent link: https://www.econbiz.de/10015607844

Modelling and forecasting of Nigeria stock market volatility

Adegboyo, Olufemi Samuel; Sarwar, Kiran - In: Future business journal 11 (2025) 1, pp. 1-13

techniques, focusing on examining the asymmetric volatility and the leverage effect. Daily data from the NSE All Share Index …-distribution. The findings reveal a significant leverage effect, where negative shocks impact stock prices more than positive ones …

Persistent link: https://www.econbiz.de/10015614008

Copula-MIDAS-TRV model for risk spillover analysis : evidence from the Chinese stock market

Qin, Wang; Li, Xianhua - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10015134964

Identifying the volatility risk price through the leverage effect

Cheng, Xu; Renault, Eric; Sangrey, Paul - 2024 - This version: April 23, 2024

Persistent link: https://www.econbiz.de/10014580927

Test of volatile behaviors with the asymmetric stochastic volatility model : an implementation on Nasdaq-100

Suleymanov, Elchin; Gubadli, Magsud; Yagubov, Ulvi - In: Risks : open access journal 12 (2024) 5, pp. 1-18

The present study aimed to investigate the presence of asymmetric stochastic volatility and leverage effects within the Nasdaq-100 index. This index is widely regarded as an important indicator for investors. We focused on the nine leading stocks within the index, which are highly popular and...

Persistent link: https://www.econbiz.de/10014636604

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