Search Results - subject:"volatility of volatility"

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

Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix

Guinea, Laurentiu; Pérez, Rafaela; Ruíz, Jesús - In: Finance research letters 61 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014490773

Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix

Guinea, Laurentiu; Pérez, Rafaela; Ruíz, Jesús - 2023

Persistent link: https://www.econbiz.de/10014252774

The idiosyncratic volatility of volatility effect in the A-share market : an interpretation based on heterogeneous variance beliefs

Hu, Zhijun; Gao, Xiang; Ling, Aifan - In: Finance research letters 75 (2025), pp. 1-9

Persistent link: https://www.econbiz.de/10015407779

Mean-variance relationship and uncertainty

Kim, Jun Sik - In: Journal of derivatives and quantitative studies : … 30 (2022) 1, pp. 23-45

This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market’s expected excess return is positively related to the market’s conditional variances and implied variance during low uncertainty periods but unrelated or negatively related to...

Persistent link: https://www.econbiz.de/10012887264