Search Results - subject:"volatility analysis"

Volatility analysis of returns of financial assets using a bayesian time-varying realized garch-itô model

Pathairat Pastpipatkul; Htwe Ko - In: Econometrics : open access journal 13 (2025) 3, pp. 1-21

In a stage of more and more complex and high-frequency financial markets, the volatility analysis is a cornerstone of …

Persistent link: https://www.econbiz.de/10015475548

Impact of macroeconomic shocks on financial performance and risk management : a case study of LPP SA during the COVID-19 pandemic and the Ukraine war

Sokołowska, Ewelina; Chmielewski, Mariusz; … - In: Risks : open access journal 12 (2024) 12, pp. 1-23

This study analyses the impact of two major macroeconomic shocks-the COVID-19 pandemic and the Ukraine war-on the financial stability of LPP SA, a leading apparel company in Poland and Central and Eastern Europe. This research uses the coefficient of variation to assess changes in financial...

Persistent link: https://www.econbiz.de/10015327724

Carbon-adjusted portfolio selection : a counterfactual analysis

Kharbach, Mohammed; Amar, Amine Ben; Lalioui, Hafid - In: Economics letters 246 (2025), pp. 1-7

Persistent link: https://www.econbiz.de/10015449048

Climate finance in the wake of COVID-19 : connectedness of clean energy with conventional energy and regional stock markets

Karim, Sitara; Khan, Shabeer; Mirza, Nawazish; Alawi, … - In: Climate change economics : CCE 13 (2022) 3, pp. 1-25

Persistent link: https://www.econbiz.de/10013370199

Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach

Wang, Xiaodong; Hsieh, Fushing - In: Quantitative finance 22 (2022) 5, pp. 997-1016

Persistent link: https://www.econbiz.de/10013367879

Price risk management by using dynamic hedging based on advanced Black-Scholes model

Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10012602709

Solving the SRI puzzle? : a note on the mainstreaming of ethical investment

Erragragui, Elias; Lagoarde-Segot, Thomas - In: Finance research letters 18 (2016), pp. 32-42

Persistent link: https://www.econbiz.de/10011656519

Volatility analysis of financial agent-based market dynamics from stochastic contact system

Xiao, Di; Wang, Jun; Niu, Hongli - In: Computational economics 48 (2016) 4, pp. 607-625

Persistent link: https://www.econbiz.de/10011712544

Surrogate analysis of volatility series from long-range correlated noise

Nagarajan, Radhakrishnan - In: Physica A: Statistical Mechanics and its Applications 374 (2007) 1, pp. 281-288

, surrogate testing is used in conjunction with volatility analysis [Y. Ashkenazy, P.Ch. Ivanov, S. Havlin, C.-K. Peng, A …

Persistent link: https://www.econbiz.de/10010589257

Is non-Gaussianity sufficient to produce long-range volatile correlations?

Nagarajan, Radhakrishnan - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 2, pp. 355-363

Scaling analysis of the magnitude series (volatile series) has been proposed recently to identify possible non-linear/multifractal signatures in the given data [Y. Ashkenazy, et al. Phys. Rev. Lett. 86 (2001) 1900; Y. Ashkenazy, et al. Physica A 323 (2003) 19; T. Kalisky, Y. Ashkenazy, S. Havlin....

Persistent link: https://www.econbiz.de/10010872774