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Implication of budget deficits on economic growth

Giouvris, Evangelos - In: Journal of economics and business research 19 (2013) 1, pp. 84-112

Persistent link: https://www.econbiz.de/10009756335

Oil price, oil price implied volatility (OVX) and illiquidity premiums in the US : (a)symmetry and the impact of macroeconomic factors

Essa, Mohammad Sharik; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 13 (2020) 4/70, pp. 1-40

We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the structural break in June 2009 and controlling...

Persistent link: https://www.econbiz.de/10012302569

Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US : (A)symmetry and the Impact of Macroeconomic Factors

Essa, Mohammad Sharik; Giouvris, Evangelos - 2023

Persistent link: https://www.econbiz.de/10014262061

A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index

Alsheikhmubarak, Abdulilah; Giouvris, Evangelos - 2023

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when analysing market consensus and risk strategies. The purpose of this study is to evaluate the ability of symmetric and asymmetric GARCH systems to model the volatility of the FTSE 100...

Persistent link: https://www.econbiz.de/10014254483