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  • Search: subject_exact:"Volatility"
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Year of publication
Subject
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Volatility 43,881 Volatilität 42,790 Theorie 11,517 Theory 11,500 Börsenkurs 9,790 Share price 9,768 Schätzung 8,060 Estimation 8,031 ARCH-Modell 7,214 ARCH model 7,204 Capital income 6,818 Kapitaleinkommen 6,818 Aktienmarkt 5,743 Stock market 5,728 Welt 5,567 World 5,548 Exchange rate 4,944 Wechselkurs 4,938 USA 4,216 United States 4,195 Stochastischer Prozess 4,127 Optionspreistheorie 4,123 Stochastic process 4,121 Option pricing theory 4,111 Prognoseverfahren 4,001 Forecasting model 3,990 Zeitreihenanalyse 3,696 Time series analysis 3,682 Risk 3,322 Risiko 3,258 Portfolio-Management 2,945 Portfolio selection 2,944 volatility 2,714 Finanzmarkt 2,532 Financial market 2,530 Oil price 2,481 Ölpreis 2,480 Spillover-Effekt 2,390 Spillover effect 2,387 Konjunktur 2,030
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Online availability
All
Free 18,319 Undetermined 12,255 CC license 1,088
Type of publication
All
Article 25,623 Book / Working Paper 20,027 Other 51 Journal 1
Type of publication (narrower categories)
All
Article in journal 22,976 Aufsatz in Zeitschrift 22,976 Working Paper 7,560 Graue Literatur 7,510 Non-commercial literature 7,510 Arbeitspapier 7,270 Aufsatz im Buch 1,247 Book section 1,247 Hochschulschrift 666 Thesis 525 Article 180 Collection of articles written by one author 176 Sammlung 176 Collection of articles of several authors 160 Sammelwerk 160 Conference paper 143 Konferenzbeitrag 143 research-article 93 Aufsatzsammlung 84 Bibliografie enthalten 54 Bibliography included 54 Amtsdruckschrift 49 Government document 49 Dissertation u.a. Prüfungsschriften 46 Konferenzschrift 44 Systematic review 41 Übersichtsarbeit 41 Forschungsbericht 32 Case study 21 Fallstudie 21 Conference proceedings 20 Rezension 20 Lehrbuch 17 Textbook 15 Congress Report 10 Handbook 10 Handbuch 10 Reprint 10 Bibliografie 7 Ratgeber 6
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Language
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English 43,031 Undetermined 1,849 German 523 Spanish 116 French 92 Portuguese 39 Italian 17 Czech 14 Polish 13 Russian 8 Romanian 6 Dutch 5 Chinese 2 Danish 1 Croatian 1 Hungarian 1 Norwegian 1 Slovak 1 Serbian 1 Swedish 1
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Author
All
McAleer, Michael 370 Gupta, Rangan 298 Caporale, Guglielmo Maria 185 Chang, Chia-Lin 148 Bollerslev, Tim 144 Diebold, Francis X. 133 Andersen, Torben 123 Bouri, Elie 121 Pierdzioch, Christian 113 Aizenman, Joshua 98 Ma, Feng 96 Hammoudeh, Shawkat 95 Spagnolo, Nicola 95 Härdle, Wolfgang 92 Koopman, Siem Jan 89 Bekaert, Geert 87 Tiwari, Aviral Kumar 84 Caporin, Massimiliano 81 Engle, Robert F. 79 Kang, Sang Hoon 77 Bahmani-Oskooee, Mohsen 75 Kočenda, Evžen 74 Gil-Alaña, Luis A. 71 Todorov, Viktor 71 Chiarella, Carl 70 Christoffersen, Peter F. 70 Asai, Manabu 69 McMillan, David G. 69 Mensi, Walid 68 Corbet, Shaen 67 Lucey, Brian M. 65 Lux, Thomas 65 Hautsch, Nikolaus 63 Salisu, Afees A. 63 Dijk, Dick van 62 Ghysels, Eric 62 Wohar, Mark E. 61 Aït-Sahalia, Yacine 60 Clements, Adam 60 Hafner, Christian M. 58
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Institution
All
National Bureau of Economic Research 529 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 171 C.E.P.R. Discussion Papers 57 HAL 30 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 29 EconWPA 28 Université Paris-Dauphine (Paris IX) 26 Agricultural and Applied Economics Association - AAEA 22 Centre for Analytical Finance <Århus> 18 European Central Bank 17 International Monetary Fund 17 Reserve Bank of Australia 17 CESifo 16 World Bank 16 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 15 Society for Computational Economics - SCE 15 Federal Reserve Bank of St. Louis 14 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 13 European Association of Agricultural Economists - EAAE 13 Department of Economics and Finance, College of Business and Economics 12 Inter-American Development Bank 12 Svenska Handelshögskolan <Helsinki> 12 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 11 Cowles Foundation for Research in Economics, Yale University 11 Ekonomiska forskningsinstitutet <Stockholm> 11 Institute of Economic Research, Kyoto University 11 Internationaler Währungsfonds / Research Department 11 Tilburg University, Center for Economic Research 11 University of Canterbury / Dept. of Economics and Finance 11 Centre for Growth and Business Cycle Research <Manchester> 10 Chambre de commerce et d'industrie de Paris 10 Department of Economics, Oxford University 10 European University Institute / Department of Economics 10 International Monetary Fund (IMF) 10 London School of Economics (LSE) 10 Oxford Centre for the Analysis of Resource-Rich Economies (OxCarre), Department of Economics 10 School of Economics and Management, University of Aarhus 10 Tinbergen Instituut 10 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 9 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 9
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Published in...
All
Energy economics 726 Finance research letters 687 NBER working paper series 517 Working paper / National Bureau of Economic Research, Inc. 475 NBER Working Paper 449 International review of financial analysis 436 Applied economics 418 International review of economics & finance : IREF 405 The journal of futures markets 382 Journal of banking & finance 377 Economic modelling 368 Journal of econometrics 340 The North American journal of economics and finance : a journal of financial economics studies 333 Research in international business and finance 296 Journal of empirical finance 274 Working paper 274 Applied economics letters 269 Economics letters 265 Applied financial economics 262 Journal of international financial markets, institutions & money 261 International journal of theoretical and applied finance 255 Journal of international money and finance 247 Discussion paper / Centre for Economic Policy Research 239 Quantitative finance 214 Discussion paper / Tinbergen Institute 210 Journal of risk and financial management : JRFM 201 Journal of financial economics 196 Pacific-Basin finance journal 196 International Journal of Energy Economics and Policy : IJEEP 187 CESifo working papers 184 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 174 MPRA Paper 171 The European journal of finance 165 IMF working papers 164 Journal of economic dynamics & control 164 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 163 International journal of finance & economics : IJFE 162 Journal of forecasting 156 International journal of forecasting 147 Research paper series / Swiss Finance Institute 135
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Source
All
ECONIS (ZBW) 42,710 RePEc 2,203 EconStor 478 BASE 109 Other ZBW resources 108 USB Cologne (EcoSocSci) 91 ArchiDok 3
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Showing 1 - 50 of 45,702
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Uncertainty, risk, and opaque stock markets
Astaíza-Gómez, José Gabriel - 2025
This study examined how uncertainty and global risk affect financial markets in emerging economies, focusing on foreign investment, CDS spreads, exchange rates, and stock return volatility. Using over 8.6 million ticker transaction observations and structural vector autoregression (VAR) models,...
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Cryptocurrency responses to U.S. monetary policy shocks : a data-driven exploration of price and volatility patterns
Buthelezi, Eugene Msizi - 2025
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Incomplete markets as correlated distortions
Armangue-Jubert, Tristany; Pietrobon, Davide; Ruggieri, … - 2025
We argue that capital misallocation arises endogenously due to incomplete consumption insurance. We model risk-averse entrepreneurs with heterogeneous productivity who face idiosyncratic output shocks and choose how much capital to rent before uncertainty unfolds. We show that incomplete markets...
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Unraveling Turkish agricultural market challenges : consequences of COVID-19, Russia-Ukraine conflict, and energy market dynamics
Urak, Faruk - In: Agribusiness : an international journal 41 (2025) 2, pp. 307-341
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Spillovers between sovereign bonds and the banking sector : evidence from Italy
Cafiso, Gianluca; Rivolta, Giulia - 2025
This study examines the relationship between sovereign spreads and banks in terms of risk transmission, using the seven largest Italian banks as a sample over the period from 2003 to 2023. Our objective is to quantify and compare volatility spillovers, and to investigate whether bank-specific...
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The relationship between market depth and liquidity fragility in the treasury market
Meldrum, Andrew; Sokolinskiy, Oleg - 2025
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From tweets to trades : the dynamic dance of investor sentiment, attention, and news sentiment in ESG stocks
Ooi Kok Loang - In: China finance and economic review : CFER 14 (2025) 1, pp. 70-91
This study examines the impact of investor sentiment and attention on trading volume and volatility across markets in China, India, and Singapore, with a specific focus on the moderating role of news sentiment in various ESG contexts. Analysing panel data from 2018 to 2023, this study finds that...
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Volatility analysis of the Indian stock market : insights from Bank Nifty Index and futures trading
Paientko, Tetiana; Pundir, Rashmi Ravindra Kumar - In: Journal of intercultural management : the journal of … 16 (2025) 4, pp. 5-41
Objective To diagnose the relationship between futures contract trading and the volatility of stocks in the Bank Nifty Index. Methodology Time series analysis and the GARCH model are employed to study the interaction between futures trading and spot market volatility. Findings The analysis...
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Does natural gas volatility affect Bitcoin volatility? : evidence from the HAR-RV model
Omura, Akihiro; Cheung, Adrian Wai Kong; Su, Jen-je - In: Applied economics 56 (2024) 4, pp. 414-425
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Exchange rate behaviour in ASEAN countries : a sensitivity analysis
Umoru, David; Igbinovia, Beauty; Aliyu, Mohammed Farid - In: Central European review of economics and management : CEREM 8 (2024) 4, pp. 37-73
Aim: The study examined the behavior of exchange rate in ASEAN countries. This was highly necessitated in order to account for the structural break in the data set occasioned by global financial crisis. Research method: The quantile regression sensitivity analysis was performed on daily series...
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Discontinuous movements and asymmetries in cryptocurrency markets
Gillas, Konstantinos Gkillas; Katsiampa, Paraskevi; … - In: The European journal of finance 30 (2024) 16, pp. 1907-1931
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Oil price uncertainty and the relation to tanker shipping
Pouliasis, Panos K.; Bentsos, Christos - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 2472-2494
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Signs of fluctuations in energy prices and energy stock-market volatility in brazil and in the us
Pimenta Rodrigues, Gabriel Arquelau; Serrano, André … - In: Econometrics : open access journal 12 (2024) 3, pp. 1-19
Volatility reflects the degree of variation in a time series, and a measurement of the stock performance in the energy sector can help one understand the pattern of fluctuations within this industry, as well as the factors that influence it. One of these factors could be the COVID-19 pandemic,...
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Decomposing return and volatility connectedness in Northwest European gas markets : evidence from the 𝑅² connectedness approach
Farag, Markos; Ruhnau, Oliver - 2024
Regulatory reforms by the European Commission have facilitated the integration of the European gas market, increasing interdependence in prices and associated risks across gas hubs. Recent external shocks, including the COVID-19 pandemic and the Russian invasion of Ukraine, have disrupted market...
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American financial hegemony, global capital cycles, and the macroeconomic growth environment
Ba, Heather; Winecoff, William Kindred - In: Economics & politics 36 (2024) 1, pp. 334-372
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The decline of labour share in OECD and non-OECD since the 1980s
Kheng, Veasna; Mckinley, Justin; Pan, Lei - In: Applied economics 56 (2024) 16, pp. 1899-1915
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Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes
Rezitis, Anthony N.; Andrikopoulos, Panagiotis; Daglis, … - In: The journal of futures markets 44 (2024) 3, pp. 451-483
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Allocative efficiency and the productivity slowdown
Shao, Lin; Tang, Rongsheng - 2024
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A note on the determinants of NFTs returns
Panagiōtidēs, Theodōros; Papapanagiotou, Georgios - 2024
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Maximum order size and market quality : evidence from a natural experiment in commodity futures markets
Peng, Kun; Hu, Zhepeng; Robe, Michel A. - In: The journal of futures markets 44 (2024) 5, pp. 803-825
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Volatility integration of crude oil, gold, and interest rates on the exchange rate : DCC GARCH and BEKK GARCH applications
Rastogi, Shailesh; Kanoujiya, Jagjeevan; Doifode, Adesh - In: Cogent business & management 11 (2024) 1, pp. 1-17
Literature is replete with evidence of market integration between crude oil, gold and interest rates (IR) with the exchange rate (ER) due to varied reasons. However, it is observed that the explored market integration is limited for the price and return volatilities. Bivariate GARCH models...
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The impact of the COVID-19 pandemic and the Russian invasion of Ukraine on Gold markets
Morina, Fisnik; Misiri, Valdrin; Dinaj, Saimir; Grima, Simon - In: Business, mangagement and economics engineering : BMEE 22 (2024) 1, pp. 17-32
Purpose - The study examines global Gold market performance and correlations between COVID-19, the Russian invasion, inflation, investors' fear, asymmetric shocks, and the VIX (volatility index) impact on volatility. Research Methodology - This research uses an econometric approach to analyse...
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Measuring price spillovers: an investigation of relative price changes in Trinidad and Tobago
Nelson, Andell; Cox, Delvin - 2024
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Financial asymmetries, risk sharing and growth in the EU
Cavallaro, Eleonora; Villani, Ilaria - 2024 - 1st edition
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Business uncertainty in developing and emerging economies
Avalos, Edgar; Barrero, Jose Maria; Davies, Elwyn; … - 2024
We study business uncertainty in high- versus low-volatility environments by surveying over 31,000 managers across 41 countries. We elicit subjective probability distributions for future own-firm sales and measure firm-level uncertainty with their mean absolute deviations. Analogously, we...
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Financial interdependencies : analyzing the volatility linkages between real estate investment trusts, Sukuk, and oil in GCC countries
Danila, Nevi - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-11
This study investigates the financial interconnections among Real Estate Investment Trusts (REITs), sukuk (Islamic bonds), and oil in Gulf Cooperation Council (GCC) nations. The study sample comprises S&P GCC Composite Equity Real Estate Investment Trusts (REITs) Shariah, the S&P GCC Bond and...
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Investor sentiment, unexpected inflation, and Bitcoin basis risk
Conlon, Thomas; Corbet, Shaen; Oxley, Les - In: The journal of futures markets 44 (2024) 11, pp. 1807-1831
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Geopolitical volatility and subsidiary investments
Adarkwah, Gilbert Kofi; Dorobantu, Sinziana; Sabel, … - In: Strategic management journal 45 (2024) 11, pp. 2275-2306
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A new approach to build a successful straddle strategy : the analytical option navigator
Rustamov, Orkhan; Aliyev, Fuzuli; Ajayi, Richard; … - In: Risks : open access journal 12 (2024) 7, pp. 1-19
The study described in this paper develops a new technique which permits the execution of an open straddle strategy based on the superior volatility forecast for analyzing historical data. We extend the current litearure by measuring the volatility of an underlying asset in the last predefined...
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Enhancing forecasting accuracy in commodity and financial markets : insights from GARCH and SVR Models
Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-20
The aim of this study is to enhance the understanding of volatility dynamics in commodity returns, such as gold and cocoa, as well as the financial market index S&P500. It provides a comprehensive overview of each model's efficacy in capturing volatility clustering, asymmetry, and long-term...
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Do geopolitical risks affect stock market returns and volatilities : an analysis based on the TVP-VAR model
Lamine, Ahlem; Zribi, Sirine - In: European journal of government and economics : EJGE 13 (2024) 2, pp. 240-261
This study examines the effects of geopolitical risk (GPR) shocks on stock market returns and volatility across G7, BRICS, and Gulf countries, using a time-varying parameter vector autoregression (TVP-VAR) model. By analyzing responses over short, medium, and long-term horizons, our findings...
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Africa's great moderation
Krantz, Sebastian - 2024
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Oil crisis vs pandemic : a broader outlook of time-frequency volatility transmission between Islamic and conventional stock markets
Ur Rehman, Moghis; Saleem, Adil; Sági, Judit - In: Cogent economics & finance 12 (2024) 1, pp. 1-30
This study explores volatility spillovers and financial connectedness between conventional and Islamic equity stock markets in developed, emerging, and frontier economies. Four regions- Gulf Cooperation Council (GCC), South Asian Association for Regional Cooperation (SAARC), Brazil, Russia,...
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Effect of health system performance on volatility during the COVID-19 pandemic : a neural network approach
Gheorghe, Cătălin; Panazan, Oana - In: Journal of business economics and management 25 (2024) 1, pp. 129-152
The study proposes an assessment of the link between the performance of national health systems and volatility during the COVID-19 pandemic. Data from the World Health Organization was accessed regarding the Global Health Security Index of the states considered in the analysis as well as the...
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Volatility dynamics of base metal futures : empirical evidence from an emerging economy
Samal, Laxmidhar - In: Organizations and markets in emerging economies 15 (2024) 1, pp. 165-187
The paper examines the leverage effects and the spillover effects in the base metal cash and futures market. The study also attempts to find the trend and the pattern of volatility clustering in the base metal markets of India. Further, the significance of the risk premium and the possible...
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Volatility implications for asset returns correlation
Ivanov, Illia - In: Central European economic journal 11 (2024) 58, pp. 424-446
Although there is an extensive literature on the impact of volatility on asset returns correlation, investigating this in relation to broad asset selection and in perspective of different timelines has received less attention. In comparison to the previous papers, we use a much broader set of 35...
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The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets
Bachmair, Kilian - 2023
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US municipal green bonds and financial integration
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023
This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK...
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Dealer capacity and US treasury market functionality
Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023
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Dealer capacity and U.S. treasury market functionality
Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023 - Revised October 2023
We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet...
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Commodity price uncertainty as a leading indicator of economic activity
Triantafyllou, Athanasios; Bakas, Dimitrios; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 4194-4219
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Macroeconomics and the construction sector : evidence from Portugal
Correia, Leónida; Kaizeler, Maria João - In: Athens journal of business & economics : AJBE 9 (2023) 1, pp. 9-26
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Inflation, equity market volatility, and bond prices : evidence from G7 countries
Chen, Yu-Fen; Chiang, Thomas C.; Lin, Fu-Lai - In: Risks : open access journal 11 (2023) 11, pp. 1-22
This study examines the impacts of the US inflation rate on the bond prices of G7 countries across different maturities using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model, a GED-GARCH (1,1) procedure, is adopted to deal with...
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Pricing of pseudo-swaps based on pseudo-statistics
Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30
The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities. Thus, sometimes it is simpler to consider pricing of swaps by so-called pseudo-statistics, namely, the...
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The increase in earnings inequality and volatility in Italy : the role and persistence of atypical contracts
Depalo, Domenico; Lattanzio, Salvatore - 2023
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Dependence between foreign trade performance and exchange rate volatility : panel ARDL approach
Oyinlola, Abimbola M.; Adeniyi, Oluwatosin A.; Kumeka, … - In: Croatian review of economic, business and social … 9 (2023) 1, pp. 1-15
The purpose of this study is to analyse the influence of exchange rate shocks on foreign trade (exports and imports) of fifteen economies within the ECOWAS sub- region. To accomplish the goal of this paper, Autoregressive Distributed Lag (ARDL) procedure was employed to investigate the impact...
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Market shocks and stock volatility : evidence from emerging and developed markets
Tabash, Mosab I.; Chalissery, Neenu; Nishad, T. Mohamed; … - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18
Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between...
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22
This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using the best fitting model among SGARCH, EGARCH and...
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Can volatility solve the naive portfolio puzzle?
Curran, Michael; O'Sullivan, Patrick; Zalla, Ryan - In: Quantitative finance 23 (2023) 11, pp. 1545-1560
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The effects of oil price volatility on South African stock market returns
Musampa, Kongolo; Eita, Joel Hinaunye; Meniago, Christelle - In: Economies : open access journal 12 (2024) 1, pp. 1-20
The aim of this study is to assess the response of the South African stock market returns to oil price volatility, based on the daily South African stock market index, using the GARCH Copula modelling technique. The results of the analysis show evidence of an asymmetric impact of fluctuations in...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014480171
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