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Domain stabilization for model-free option implied moment estimation

Lee, Geul; Ryu, Doojin; Li, Yang - In: Journal of financial econometrics 23 (2025) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10015339752

The dynamic volatility nexus of blue-green economy, cryptocurrency and gold indices during uncertain times

Loukil, Sahar; Zulfiqar, Noshaba; Papadas, Dimıtrios; … - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 1, pp. 281-291

Persistent link: https://www.econbiz.de/10015339852

How do the risk perceptions of consumers affect the stock return volatility? : the evidence from five hospitality firms

Du, Zongjuan; Sun, Shaolong; Wang, Shouyang - In: International journal of hospitality management 124 (2025), pp. 1-11

Persistent link: https://www.econbiz.de/10015340142

What drives commodity price variation?

Han, Meng; Dam, Lammertjan; Pohl, Walter - In: Review of finance : journal of the European Finance … 29 (2025) 2, pp. 315-347

Persistent link: https://www.econbiz.de/10015357651

Correlation between investor sentiment and carbon price considering economic policy uncertainty

Liu, Yanping; Yan, Bo - In: The journal of behavioral finance : a publication of … 26 (2025) 1, pp. 64-81

Persistent link: https://www.econbiz.de/10015357753

A study on unfolding asymmetric volatility in selected IT stocks in NSE

Suryanarayana, K.S.; Kandi, V. S. Prasad; Yasaswi, K. … - In: International journal of electronic finance : IJEF 14 (2025) 2, pp. 214-228

Persistent link: https://www.econbiz.de/10015357833

Assessing macroeconomic tail risk

Loria, Francesca; Matthes, Christian; Zhang, Donghai - In: The economic journal : the journal of the Royal … 135 (2025) 665, pp. 264-284

Persistent link: https://www.econbiz.de/10015358036

An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities

Qiao, Chunhui; Wan, Xiangwei; Yang, Nian - In: Operations research letters : a journal of INFORMS … 59 (2025), pp. 1-7

Persistent link: https://www.econbiz.de/10015358884

Forecasting volatility of the Nordic electricity market an application of the MSGARCH

Naeem, Muhammad; Jassim, Hothefa Shaker; Saleem, Kashif; … - In: Risks : open access journal 13 (2025) 3, pp. 1-19

This paper studies the volatility of electricity spot prices in the Nordic market (Sweden, Finland, Denmark, and Norway) under regime switching. Utilizing Markov-switching GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models, we provide strong evidence of nonlinear regime...

Persistent link: https://www.econbiz.de/10015358886

Towards examining the volatility of top market-cap cryptocurrencies throughout the COVID-19 outbreak and the Russia-Ukraine war : empirical evidence from GARCH-type models

Gherghina, Ştefan Cristian; Constantinescu, … - In: Risks : open access journal 13 (2025) 3, pp. 1-43

The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks, particularly during periods of global crises such as the COVID-19 pandemic and the Russia-Ukraine war. This study investigates the volatility of the top seven cryptocurrencies by...

Persistent link: https://www.econbiz.de/10015358888