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Do jumps matter in both equity market returns and integrated volatility : a comparison of Asian developed and emerging markets

Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies : open access journal 9 (2021) 2, pp. 1-26

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for … jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly …

Persistent link: https://www.econbiz.de/10012548334

The time-varying effects of oil prices on oil-gas stock returns of the fragile five countries

Yurteri Kösedağlı, Begüm; Kışla, Gül Huyugüzel; … - In: Financial innovation : FIN 7 (2021), pp. 1-22

This study analyzes oil price exposure of the oil-gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter...

Persistent link: https://www.econbiz.de/10012418479

Does policy uncertainty affect equity, commodity, interest rates, and currency markets? : evidence from CBOE's volatility index

Shaikh, Imlak - In: Journal of business economics and management 21 (2020) 5, pp. 1350-1374

uncertainty (EPU) index. The present work determines the association among policy uncertainty and volatility index, expressed in … terms of generalized autoregressive conditional heteroscedasticity and period of empirical work spanning from 2000 to 2018 …. The results suggest that equity markets' volatility tends to be very high based on a high degree of policy uncertainty …

Persistent link: https://www.econbiz.de/10012271841

Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18

Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 …-Litecoin, and Ethereum-Litecoin pairs. However, the volatility transmissions are found to be different during the two sample periods … information to portfolio managers and policymakers regarding portfolio diversification, hedging, forecasting, and risk management. …

Persistent link: https://www.econbiz.de/10012317582

Commodity risk and forecastability of international stock returns : the role of oil returns skewness

Salisu, Afees A.; Gupta, Rangan - 2025

heteroscedasticity, we provide evidence of the strong statistical significance of the predictive impact of the third moment of oil price …

Persistent link: https://www.econbiz.de/10015358919

Automated machine learning and asset pricing

Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12

standard regression-based methods of estimation. They also indicate that certain risk factors and combinations of risk factors …

Persistent link: https://www.econbiz.de/10015066381

Stock market volatility response to COVID-19 : evidence from Thailand

Suthasinee Suwannapak; Surachai Chancharat - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-9

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …

Persistent link: https://www.econbiz.de/10014284290

Climate-related default probabilities

Blanc-Blocquel, Augusto; Ortiz-Gracia, Luis; Sanfelici, … - In: Risks : open access journal 12 (2024) 11, pp. 1-19

Climate risk refers to the risks associated with climate change and has already started to impact various sectors of the economy. In this work, we focus on the impact of physical risk on the probability of default for a firm in the agribusiness sector. The probability of default is estimated...

Persistent link: https://www.econbiz.de/10015137901

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17

measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to …

Persistent link: https://www.econbiz.de/10013475217

Can ETFs afect U.S. fnancial stability? : A quantile cointegration analysis

Laborda, Juan; Laborda, Ricardo; Cruz, Javier de la - In: Financial innovation : FIN 10 (2024), pp. 1-24

relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile … cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for …

Persistent link: https://www.econbiz.de/10014540299