Search Results - subject_exact:"Volatilität"

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Green Startup Report 2026

Fichter, Klaus; Neumann, Thomas; Olteanu, Yasmin; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609075

Fear divides, not unites : volatility transmission and decoupling between cryptocurrency and renewable energy markets

Al-Harbi, Ahmad - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015616819

Oil price shocks and stock market responses : evidence from Saudi Arabia and Spain

Alzamel, Hussah Adnan; Othman, Jaizah - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015616888

Oil price volatility and unemployment in iraq : a two-stage approach using generalized autoregressive conditional heteroskedasticity-mixed-data sampling

Abed, Zainab Ahmed; Barguellil, Achouak; Fathalla, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015616941

Spillover effects in green and traditional assets during global crises : evidence from TVP-VAR analysis

Chiaka, Felicia; Deanita, Gwenda; Fitriya Fauzi - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015617060

Trade war shocks and volatility spillovers between fossil fuel markets and biofuel feedstocks : empirical evidence from the US-China trade dispute

Avazkhodjaev, Salokhiddin; Dhiensiri, Nont; Rakhimov, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015617190

Labor informality and macroeconomic volatility

Ávila-Montealegre, Oscar Iván; Grajales-Olarte, Anderson - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015617558

A bound on price impact and disagreement

Beck, Philippe van der; Bretscher, Lorenzo; Fu, Julie Zhiyu - 2026 - This draft: October 31, 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618229

Volatility spillover effects in foreign exchange markets among China, Japan, and South Korea

Yu, Bok-Keun; Kim, Kwon Sik - 2026

This paper analyzes the dynamic spillover effects of exchange rate volatility among the foreign exchange markets of China, Japan, and South Korea from January of 2010 to March of 2024 based on exchange rate determination theories, the GJR-GARCH model, and the TVP-VAR model. The key empirical...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654863

Interpreting the interpreter : can we model post-ECB conference volatility with LLM agents?

Collodel, Umberto - 2026

Central banks cannot observe how markets will interpret their communications before release. We propose a framework in which Large Language Models simulate 30 heterogeneous traders interpreting European Central Bank press conference transcripts, yielding a measure of cross-sectional disagreement...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655276

Balancing volatility and returns in the Czech National Bank's foreign exchange portfolio

Adam, Tomáš; Michl, Aleš; Škoda, Michal - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609222

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Balancing volatility and returns in the Czech National Bank's foreign exchange portfolio

Adam, Tomáš; Michl, Aleš; Škoda, Michal - 2023

Book / Working Paper

Uncertain climate policy as a source of macro-financial shocks : evidence from carbon futures volatility

Guidolin, Massimo; Ionta, Serena - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609451

Estimation and inference for stochastic volatility models with heavy-tailed distributions

Rodriguez Rondon, Gabriel; Dufour, Jean-Marie; Ahsan, Nazmul - 2026 - Last updated: March 6, 2026

Statistical inference-both estimation and testing-for stochastic volatility (SV) models is known to be challenging and computationally demanding. We propose simple and efficient estimators for SV models with conditionally heavy-tailed error distributions, particularly the Student's t and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015612285

Enforcing an admissible parameter space for vector MEM : the fundamental role of matrix inequality constraints

Karanasos, Menelaos; Xu, Yongdeng; Yfanti, Stavroula; … - 2026

We derive an admissible parameter space for vector Multiplicative Error Models (vMEMs), explicitly formulating it in terms of the model's matrix parameters through a set of matrix inequalities. Another key contribution is the adoption of constrained maximum likelihood estimation for the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614295

Adaptive LASSO-MGARCH for multivariate volatility forecasting

Xu, Yongdeng; Lyu, Juyi; Lu, Wenna - 2026

This paper evaluates an Adaptive LASSO-MGARCH model for multivariate volatility forecasting, with an application to green and conventional bonds, equities, energy commodities, and EU carbon allowances. By introducing coefficient-specific adaptive penalisation directly into the multivariate GARCH...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614300

Overnight interbank rate volatility across liquidity states : key drivers and policy implications

Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2026

Effective monetary policy requires maintaining the short-term interbank rate close to the policy rate while limiting its volatility, ensuring smooth transmission, and reducing banks' liquidity and interest rate risks. This paper seeks to identify and explain the drivers of volatility in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614335

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Overnight interbank rate volatility across liquidity states : key drivers and policy implications

Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2025

Book / Working Paper

Time-varying price discovery

Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, Cristina - 2026 - This version: July 11, 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615673

Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2026

We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592338

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Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2024

Book / Working Paper

Structural drivers of growth at risk : insights from a VAR-quantile regression approach

Carboni, Giacomo; Fonseca, Luís; Fornari, Fabio; … - 2026

We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and perform quantile regressions on the VAR residuals to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592539

Fat-tailed distribution under the smooth ambiguity model

Osei, Prince - 2026

We study the ambiguity-adjusted return distribution induced by an investor with smooth ambiguity preferences 'a la Klibano! et al. (2005), who faces uncertainty about the variance of asset returns. The variance uncertainty is modeled using a gamma distribution, a second-order prior over the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015594918

In search of seasonality in intraday and overnight option returns

Bali, Turan G.; Goyal, Amit; Mörke, Mathis; Weigert, … - 2026

We uncover momentum and reversal patterns in half-day option returns that persist for up to at least 20 business days, with economic magnitudes of 0.22% to 0.45% per half-day. Specifically, returns show strong momentum within the same period (e.g., intraday-to-intraday) but reverse sharply...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591093

Comparative analysis of tail risk in emerging and developed equity markets : an extreme value theory perspective

Dlamini, Sthembiso; Shongwe, Sandile Charles - 2026

This research explores the application of extreme value theory in modelling and quantifying tail risks across different economic equity markets, with focus on the Nairobi Securities Exchange (NSE20), the South African Equity Market (FTSE/JSE Top40) and the US Equity Index (S&P500). The study...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591162

Persistence in the mint stock markets : evidence from a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Ojo, … - 2026

This paper investigates persistence in the MINT (Mexico, Indonesia, Nigeria, Turkey) stock markets applying fractional integration methods to daily data from 1 January 2022 to 31 October 2025. Different model specifications are estimated for prices, log prices and log returns under the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591911

Higher-order forward guidance

Dordal i Carreras, Marc; Lee, Seung Joo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015578338

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Higher-order forward guidance

Dordal i Carreras, Marc; Lee, Seung Joo - 2025

Book / Working Paper

Riding out the storm : high-frequency data for enhanced oil market risk forecasting

Kuang, Wei - 2026

The stability of global energy markets is fundamental to effective energy strategy, influencing national policy and corporate investment decisions. Extreme volatility, such as during the COVID-19 pandemic, exposes the limitations of conventional risk assessment tools and undermines strategic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604096

Noncausal AR processes driven by causal GARCH volatility

Velasquez-Gaviria, Daniel; Zakoïan, Jean-Michel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604163

When prices spike : identifying excessive volatility in fertilizer markets

Yao, Feng; Hernandez, Manuel A. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604245

Forecasting and managing price volatility in salmon production : a hybrid system using conformal prediction and dynamic hedging

Luna, Manuel; Pérez-Mon, Olaya; Becker, João Luiz - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604682

U.S .- Korea yield synchronization and its implications for monetary policy transmission

Kim, Jihyun; Kim, Somin; Kwak, Boreum - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605080

The dynamic interplay between inflation, economic policy uncertainty, and economic resilience in emerging markets : a time-varying parameter stochastic volatility vector autoregression analysis

Barguellil, Achouak - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620224

Managing systemic risk in energy and financial markets : evidence from five portfolio strategies based on connectedness

Bouzguenda, Mariem; Jarboui, Anis - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620298

Global uncertainty and green transition : dynamics analysis of stock market volatility

Suriani, Suriani; Sartiyah, Sartiyah; Jamal, Abd; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620658

Carbon price volatility in the New Zealand Emission Trading Scheme

Yang, Yudou; Wen, Le; Sharp, Basil M. H.; Maani, Sholeh A. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620700

Oil price fluctuations and their impact on macroeconomic variables : the case of South Africa

Ngobeni, Mkateko; Dagume, Mbulaheni Albert - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620784

Examining the volatility spillover between the fear index and the magnificent seven technology stocks

Koycu, Erol; Nur, Tugba - 2026

This study investigates the volatility spillover dynamics between the VIX fear index and the Magnificent Seven technology stocks - namely Microsoft, Apple, Nvidia, Amazon, Alphabet, Meta Platforms, and Tesla - over the period of June 2012 to March 2024. To achieve this objective, the variance...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620965

The causality between oil price, financial market uncertainty and economic policy uncertainty in the United States

Prabhakar, Saimanish; Kalaitzi, Athanasia Stylianou - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015621677

Effectiveness of trading pauses : evidence from the Tokyo stock exchange

Kasahara, Akitada; Yamada, Masahiro - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015624512

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Effectiveness of trading pauses : evidence from the Tokyo stock exchange

Kasahara, Akitada; Yamada, Masahiro - 2026

Book / Working Paper

Candidate exit and voter loyalty during early democratization

Dewan, Torun A.; Kam, Christopher; Meriläinen, Jaakko; … - 2026

Hirschman's Exit, Voice, and Loyalty (1970) proposed that organizations persist when loyalty tempers incentives to exit after adverse shocks. We test this argument using newly digitized individual-level voting records from 28 English constituencies (1832-1868), covering 134,000 real votes....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625472

Economic policy uncertainty and firm profitability in Nigeria : does oil price volatility deepen the shock?

Oyadeyi, Olajide O.; Uddin, Ehireme; Olusola, Esther O. - 2026

Recent studies have focused on the detrimental effects of global economic policy uncertainty (EPU) on firm profitability. Nevertheless, none of these studies has focused on a developing economy like Nigeria. To understand this, the study conducted a host of regression analyses using the Driscoll...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625871

External shocks, fiscal transmission mechanisms, and macroeconomic volatility : evidence from Ecuador

Diaz-Kovalenko, Igor Ernesto - 2026

This paper investigates how external shocks propagate through fiscal transmission mechanisms in a commodity-dependent economy within a dynamic macroeconomic framework. The study contributes to the literature on macroeconomic fluctuations by examining the interaction between external revenue...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626038

Volatility spillover effects in founding members of BRICS stock markets : a DCC-GARCH perspective

Agrawal, Pravin Kumar; Syed, Aamir Aijaz; Bhatt, Alka Singh - 2026

This study explores how the volatility spillover mechanism and dynamic dependence among the founding BRICS equity markets, namely IBOVESPA, MICEX, Nifty 50, SSE, and JSE, have evolved over time using a multivariate DCC-GARCH model. The analysis is conducted across three distinct regimes: the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626064

Monetary policy and interest rate volatility : the role of inequality and imperfect credit market

Marjit, Sugata; Mishra, Suryaprakash; Mandal, Sanghita; … - 2026

Inequality of wealth or liquid finance in a system with credit market imperfection adversely affects investment by poor investors. This is well known in the literature. In this paper we prove that the aggregate credit demand function would be relatively inelastic with unequal wealth distribution...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626636

Long memory in Kenyan commodity prices

Caporale, Guglielmo Maria; Njoroge, Mwangi Victor; … - 2026

This study investigates the long-memory properties of the prices of three Kenyan commodities (tea, coffee and horticultural products) by applying fractional integration methods to monthly data spanning the period from August 1998 to December 2024. The empirical results provide evidence of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626665

Macroeconomic determinants of renewable energy deployment : the role of inflation, fiscal policy, and economic volatility in MENA countries (2000-2023)

Yousef, Rifaat Fathi Metwally - 2026

The worldwide move toward renewable energy indicates a fundamental change that is particularly important in the MENA region, which has abundant renewable resources and has depended on hydrocarbon economies. This study presents an empirical examination of key macroeconomic determinants-inflation,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628384

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628389

Economic policy uncertainty and exchange rate volatility : an asymmetric GARCH-MIDAS approach with simulation-based validation

Barguellil, Achouak; Alnabulsi, Khalil - 2026

This paper examines the asymmetric impact of economic policy uncertainty (EPU) on exchange rate volatility across a sample of developed and emerging economies. Using an asymmetric GARCH-MIDAS model, volatility is decomposed into short-term and long-term components, with the latter associated...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628443

Bilateral trade and exchange rate volatility : evidence from a multiple-threshold nonlinear ARDL model

Kim, Min-Joon - 2026

This study applies a multiple threshold nonlinear autoregressive distributed lag (MTNARDL) model to examine the asymmetric impact of real exchange rate volatility on Vietnam's exports and imports with its three leading trading partners: China, the United States, and South Korea. By allowing...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628462

Broken symmetry of stock returns : a modified Jones-Faddy skew t-distribution

Shao, Siqi; Ghasemi, Arshia; Farahani, Hamed; Serota, … - 2026

We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses. Starting with stochastic differential equations for stock returns and for stochastic volatility, we argue that the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628697

Impact of capping emissions on macroeconomic volatility : the case of Saudi Arabia

Galeottib, Marzio; Manzanoc, Baltasar; Pierru, Axel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637816

Canonical rough path over tempered fractional Brownian Motion : existence, construction, and applications

Lechiheb, Atef - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637968