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Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

Persistent link: https://www.econbiz.de/10012630868

FX volatility impact on Indian stock market : an empirical investigation

Aravind M - In: Vision : the journal of business perspective 21 (2017) 3, pp. 284-294

Persistent link: https://www.econbiz.de/10011833400

The sources of stock market volatility in Pakistan

Ihsan, Hajra; Ahmed, Eatzaz - In: Journal of world economic review 15 (2020) 1, pp. 15-34

Persistent link: https://www.econbiz.de/10012670422

Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets

Alanya, Willy; Rodriguez, Gabriel - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950003-1-1950003-18

Persistent link: https://www.econbiz.de/10012156142

Determinism and non-linear behaviour of log-return and conditional volatility : empirical analysis for 26 stock markets

Dhifaoui, Zouhaier - In: South Asian journal of macroeconomics and public finance 11 (2022) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10013256597

Analysis of ASEAN's stock returns and/or volatility distribution under the impact of the Chinese EPU : evidence based on conditional kernel density approach

Rahman, Mohib Ur; Zeb, Aurang; Ullah, Irfan - In: East Asian economic review 27 (2023) 1, pp. 33-60

Persistent link: https://www.econbiz.de/10015046119

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility

Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014225819

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Portfolio volatility estimation relative to stock market cross-sectional intrinsic entropy

Vint̜e, Claudiu; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-24

Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market … uses the cross-sectional intrinsic entropy (CSIE) model to estimate the cross-sectional volatility of the stock groups that … can be considered together as portfolio constituents. The CSIE market volatility estimate is based on daily traded prices …

Persistent link: https://www.econbiz.de/10014305795