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  • Search: subject:"volatility feedback"
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Year of publication
Subject
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volatility feedback 19 Volatilität 18 Volatility 15 leverage effect 15 volatility feedback effect 15 ARCH-Modell 10 Schätzung 9 Bivariate GARCH process 7 Estimation 7 Risiko 7 financial leverage 7 inflation uncertainty 7 long memory 7 output variability 7 risk-return tradeoff 7 stock returns 7 variance risk premium 7 ARCH model 6 Aktienmarkt 6 Börsenkurs 6 Capital income 6 Kapitaleinkommen 6 Share price 6 realized volatility 6 Leverage effect 5 Risk 5 Stock market 5 Bernstein density copula 4 FIEGARCH-M 4 Granger non-causality 4 Inflation 4 Konjunktur 4 Risk premium 4 USA 4 Volatility feedback effect 4 financial crises 4 high-frequency data 4 international markets 4 jumps 4 negative volatility feedback 4
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Online availability
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Free 57 CC license 2
Type of publication
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Book / Working Paper 44 Article 13
Type of publication (narrower categories)
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Working Paper 17 Arbeitspapier 9 Graue Literatur 9 Non-commercial literature 9 Article in journal 8 Aufsatz in Zeitschrift 8 Article 4 Conference Paper 1
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Language
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English 40 Undetermined 15 German 1 French 1
Author
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Conrad, Christian 12 Nielsen, Morten Ørregaard 10 Karanasos, Menelaos 8 Christensen, Bent Jesper 7 Zhu, Jie 7 Bollerslev, Tim 6 Taamouti, Abderrahim 5 Andersen, Torben G. 3 Bouezmarni, Taoufik 3 Jamali, Ibrahim 3 Schölkopf, Julius 3 Sizova, Natalia 3 Tauchen, George 3 Tushteva, Nikoleta 3 Aboura, Sofiane 2 Chakrabarti, Prasenjit 2 Deb, Soumya Guha 2 Dufour, Jean-Marie 2 Frederiksen, Per 2 Gospodinov, Nikolay 2 Kumar, K. Kiran 2 Mancino, Maria Elvira 2 Pathak, Jalaj 2 Sanfelici, Simona 2 Sun, Yiguo 2 Wagner, Niklas 2 Wu, Ximing 2 Yang, Minxian 2 BOUEZMARNI, Taoufik 1 Białkowski, Je̜drzej 1 Carr, Peter 1 Dwarika, Nitesha 1 Frederiksen, Per Houmann 1 Garcia, René 1 García, René 1 Gospodinov, Nikolaj 1 Gouriéroux, Christian 1 Harris, Richard D. F. 1 Hong, Sanghyun 1 Karanasos, Menelaos G. 1
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Institution
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School of Economics and Management, University of Aarhus 4 Economics Department, Queen's University 3 Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Departamento de Economía, Universidad Carlos III de Madrid 2 Duke University, Department of Economics 2 School of Economics, UNSW Business School 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 1 Department of Economics and Related Studies, University of York 1 Department of Economics, University of Peloponnese 1 Federal Reserve Bank of Atlanta 1 KOF Swiss Economic Institute, Department of Management, Technology and Economics (D-MTEC) 1 Université Paris-Dauphine 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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CREATES Research Papers 4 Queen's Economics Department Working Paper 3 Working Papers / Economics Department, Queen's University 3 CIRANO Working Papers 2 Cogent Economics & Finance 2 Cogent economics & finance 2 Discussion Paper Series 2 Discussion Papers / School of Economics, UNSW Business School 2 Discussion paper series / University of Heidelberg, Department of Economics 2 Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid 2 Working Papers / Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften 2 Working Papers / Duke University, Department of Economics 2 AWI Discussion Paper Series 1 AWI discussion paper series 1 Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Macroeconomic Modeling and Forecasting Performance 1 Bloomberg Portfolio Research Paper 1 CORE Discussion Papers 1 Cahiers de recherche 1 Discussion Papers / Department of Economics and Related Studies, University of York 1 Economics Papers from University Paris Dauphine 1 Journal of Risk and Financial Management 1 Journal of commodity markets : JCM 1 Journal of empirical finance 1 Journal of risk and financial management : JRFM 1 KOF Working Papers 1 KOF Working papers 1 Multinational Finance Journal 1 Open Access publications from Université Paris-Dauphine 1 Pacific-Basin finance journal 1 Quantitative finance and economics 1 Queen's Economics Department working paper 1 Risks 1 Risks : open access journal 1 Staff working papers / Bank of England 1 Statistische Diskussionsbeiträge 1 Série des documents de travail 1 Working Paper 1 Working Paper / Federal Reserve Bank of Atlanta 1 Working Papers / Department of Economics, University of Peloponnese 1 Working papers 1
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Source
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RePEc 26 ECONIS (ZBW) 18 EconStor 13
Showing 1 - 10 of 57
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Empirische Analyse des Zusammenhangs zwischen Rendite und impliziter Volatilität am deutschen Aktienmarkt
Mauer, Annika; Nastansky, Andreas - 2024
Persistent link: https://www.econbiz.de/10015193915
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Is no news still good news? : volatility feedback revisited
Białkowski, Je̜drzej; Hong, Sanghyun; Wagner, Moritz - In: Pacific-Basin finance journal 91 (2025), pp. 1-9
Persistent link: https://www.econbiz.de/10015405140
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Diversifying crude oil price risk with crude oil volatility index : the role of volatility-of-volatility
Li, Leon; Miu, Peter - In: Journal of commodity markets : JCM 36 (2024), pp. 1-25
Persistent link: https://www.econbiz.de/10015162603
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Why do firms with no leverage still have leverage and volatility feedback effects?
Smith, Geoffrey Peter - In: Journal of empirical finance 78 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015101626
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Long-term volatility shapes the stock market's sensitivity to news
Conrad, Christian; Schölkopf, Julius; Tushteva, Nikoleta - 2023
volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount …
Persistent link: https://www.econbiz.de/10014476175
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Long-term volatility shapes the stock market’s sensitivity to news
Conrad, Christian; Schölkopf, Julius; Tushteva, Nikoleta - 2023
Persistent link: https://www.econbiz.de/10014430971
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Long-term volatility shapes the stock market’s sensitivity to news
Conrad, Christian; Schölkopf, Julius; Tushteva, Nikoleta - 2023
volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount …
Persistent link: https://www.econbiz.de/10014440865
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The risk-return relationship and volatility feedback in South Africa : a comparative analysis of the parametric and nonparametric Bayesian approach
Dwarika, Nitesha - In: Quantitative finance and economics 7 (2023) 1, pp. 119-146
Persistent link: https://www.econbiz.de/10014279147
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Nonparametric Malliavin-Monte Carlo computation of hedging Greeks
Mancino, Maria Elvira; Sanfelici, Simona - In: Risks 8 (2020) 4, pp. 1-17
We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l-method, generally outperforms the standard Monte Carlo finite difference method, especially for discontinuous payoffs. Furthermore, our approach is nonparametric, as we only assume...
Persistent link: https://www.econbiz.de/10013200653
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Stylized patterns in implied volatility indices and stock market returns: A cross country analysis across developed and emerging markets
Pathak, Jalaj; Deb, Soumya Guha - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-24
to market movements as per the "volatility feedback hypothesis" holding during bear periods only in developed countries …. We suspect that two important pre-conditions of volatility feedback hypothesis to hold, namely volatility persistence and …
Persistent link: https://www.econbiz.de/10012657567
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