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  • Search: subject_exact:"Volatility"
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Year of publication
Subject
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Volatility 24,172 Volatilität 23,120 USA 9,969 United States 9,955 Theorie 8,660 Theory 8,645 Börsenkurs 5,359 Share price 5,337 Schätzung 5,120 Estimation 5,090 ARCH-Modell 4,000 ARCH model 3,990 Capital income 3,581 Kapitaleinkommen 3,581 Aktienmarkt 3,148 Stock market 3,141 Exchange rate 2,885 Wechselkurs 2,877 Welt 2,248 World 2,229 volatility 2,101 Stochastischer Prozess 1,942 Stochastic process 1,936 Optionspreistheorie 1,878 Option pricing theory 1,867 Zeitreihenanalyse 1,708 Time series analysis 1,693 Prognoseverfahren 1,666 Forecasting model 1,657 Finanzmarkt 1,189 Financial market 1,186 Oil price 1,097 Ölpreis 1,096 Financial crisis 1,041 Portfolio-Management 1,029 Finanzkrise 1,028 Portfolio selection 1,028 Aktienindex 1,022 Stock index 1,018 Business cycle 1,006
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Online availability
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Free 6,915 Undetermined 5,621
Type of publication
All
Article 16,704 Book / Working Paper 9,157 Other 46 Journal 2
Type of publication (narrower categories)
All
Article in journal 14,490 Aufsatz in Zeitschrift 14,490 Working Paper 6,224 Graue Literatur 6,170 Non-commercial literature 6,170 Arbeitspapier 5,976 Aufsatz im Buch 1,009 Book section 1,009 Hochschulschrift 589 Thesis 520 Collection of articles written by one author 173 Sammlung 173 Collection of articles of several authors 146 Sammelwerk 146 Conference paper 94 Konferenzbeitrag 94 Amtsdruckschrift 59 Government document 59 Article 57 Bibliografie enthalten 51 Bibliography included 51 Dissertation u.a. Prüfungsschriften 46 Systematic review 41 Übersichtsarbeit 41 Konferenzschrift 40 Aufsatzsammlung 39 Commentary 28 Kommentar 28 Forschungsbericht 23 Case study 21 Fallstudie 21 Conference proceedings 20 Lehrbuch 14 Congress Report 10 Handbook 9 Handbuch 9 Reprint 9 Rezension 9 Bibliografie 7 Guidebook 5
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Language
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English 23,293 Undetermined 1,852 German 487 Spanish 96 French 91 Portuguese 38 Italian 17 Czech 13 Polish 13 Russian 8 Dutch 5 Romanian 4 Chinese 2 Danish 1 Croatian 1 Hungarian 1 Norwegian 1 Romany 1 Slovak 1 Serbian 1 Swedish 1
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Author
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McAleer, Michael 311 Caporale, Guglielmo Maria 127 Chang, Chia-Lin 120 Bollerslev, Tim 89 Andersen, Torben G. 88 Gupta, Rangan 84 Diebold, Francis X. 77 Spagnolo, Nicola 67 Aizenman, Joshua 65 Lux, Thomas 62 Hammoudeh, Shawkat 61 Härdle, Wolfgang 61 Koopman, Siem Jan 60 Engle, Robert F. 57 Bahmani-Oskooee, Mohsen 55 Hautsch, Nikolaus 53 Asai, Manabu 52 Belke, Ansgar 52 Chiarella, Carl 51 Christoffersen, Peter F. 51 Hafner, Christian M. 51 Pierdzioch, Christian 51 Clements, Adam 47 McMillan, David G. 46 Gil-Alaña, Luis A. 45 Buch, Claudia M. 44 Kočenda, Evžen 43 Dijk, Dick van 42 Ghysels, Eric 42 Herwartz, Helmut 42 Allen, David E. 41 Caporin, Massimiliano 40 Christiansen, Charlotte 37 Narayan, Paresh Kumar 37 Medeiros, Marcelo C. 36 Mumtaz, Haroon 36 Bekaert, Geert 34 Chevallier, Julien 34 Shephard, Neil G. 34 Tauchen, George Eugene 34
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 171 C.E.P.R. Discussion Papers 57 HAL 30 EconWPA 28 Université Paris-Dauphine (Paris IX) 26 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 25 Agricultural and Applied Economics Association - AAEA 22 Centre for Analytical Finance <Århus> 17 Reserve Bank of Australia 17 CESifo 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 Inter-American Development Bank 13 Department of Economics and Finance, College of Business and Economics 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 Institute of Economic Research, Kyoto University 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 Department of Economics, Oxford University 10 Ekonomiska forskningsinstitutet <Stockholm> 10 European University Institute / Department of Economics 10 Institut für Weltwirtschaft 10 International Monetary Fund (IMF) 10 Internationaler Währungsfonds / Research Department 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 Chambre de commerce et d'industrie de Paris 9 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 9 Erasmus University Rotterdam, Econometric Institute 9 European Central Bank 9 Federal Reserve Bank of New York 9 Instituto Valenciano de Investigaciones Económicas (IVIE) 9
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Published in...
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Working paper / National Bureau of Economic Research, Inc. 485 Energy economics 348 Journal of banking & finance 332 The journal of futures markets 281 Applied financial economics 267 Applied economics 258 Economic modelling 244 Discussion paper / Centre for Economic Policy Research 236 International review of financial analysis 218 Journal of econometrics 217 Journal of empirical finance 217 International journal of theoretical and applied finance 215 Journal of international money and finance 186 Economics letters 185 Applied economics letters 183 Discussion paper / Tinbergen Institute 183 Journal of international financial markets, institutions & money 177 International review of economics & finance : IREF 171 MPRA Paper 171 Finance research letters 152 CESifo working papers 150 Research in international business and finance 150 Journal of financial economics 135 The North American journal of economics and finance : a journal of financial economics studies 131 The European journal of finance 123 Working paper 123 The review of financial studies 118 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 114 The journal of finance : the journal of the American Finance Association 112 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 109 Journal of financial econometrics : official journal of the Society for Financial Econometrics 108 Journal of economic dynamics & control 106 Pacific-Basin finance journal 106 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 101 International journal of economics and finance 100 Mathematical finance : an international journal of mathematics, statistics and financial theory 96 Applied mathematical finance 93 IMF working paper 93 Research paper series / Swiss Finance Institute 93 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 92
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Source
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ECONIS (ZBW) 23,196 RePEc 2,203 EconStor 310 BASE 105 USB Cologne (EcoSocSci) 91 ArchiDok 3 Other ZBW resources 1
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Showing 1 - 50 of 25,909
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Electricity market integration, decarbonisation and security of supply : dynamic volatility connectedness in the Irish and Great Britain markets
Do, Hung; Nepal, Rabindra; Jamasb, Tooraj - 2020
This study investigates the volatility connectedness between the Irish and Great Britain electricity markets and how it is driven by changes in energy policy, institutional structures and political ideologies. We assess various aspects of this volatility connectedness including static...
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Uncertainty and growth disasters
Jovanovic, Boyan; Ma, Sai - 2020
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On the instability of banking and other financial intermediation
Gu, Chao; Monnet, Cyril; Nosal, Ed; Wright, Randall D. - 2020
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Corporate acquisitions and firm-level uncertainty : domestic versus cross-border deals
Bai, Ye; Girma, Sourafel; Riaño, Alejandro - 2020
This paper studies the impact of corporate acquisitions - both domestic and cross-border - on the uncertainty faced by acquiring firms. We use data for UK publicly-listed firms from 2004 to 2017 and employ a matching estimator combined with difference-in-differences to control for the endogenous...
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Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility
Ibikunle, Gbenga; Rzayev, Khaladdin - 2020
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Impact of foreign and domestic investment in stock market volatility: empirical evidence from India
Chhimwal, Bhaskar; Bapat, Varadraj - In: Cogent economics & finance 8 (2020) 1, pp. 1-14
Volatility is one of the most important factors of investment decisions. Unexpected information forces the investor to trade abnormally in the market which in turn affects the volatility of the market. But this kind of trading behavior has a different impact on the different market segments....
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Volatility regressions with fat tails
Kim, Jihyun; Meddahi, Nour - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012216036
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Electricity market integration, decarbonisation and security of supply : dynamic volatility connectedness in the Irish and Great Britain markets
Do, Hung; Nepal, Rabindra; Jamasb, Tooraj - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012225180
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Is capital market integration among the SAARC countries feasible? : an empirical study
Chowdhury, Emon Kalyan - In: Eurasian journal of business and economics : EJBE 13 (2020) 25, pp. 21-36
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Modeling and forecasting the volatility of returns in the infrastructure sector in emerging markets
Magweva, Rabson; Sibanda, Mabutho - In: Eurasian journal of business and economics : EJBE 13 (2020) 25, pp. 37-52
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Discerning trends in international metal prices in the presence of non-stationary volatility
Addison, Tony; Ghoshray, Atanu - 2020
Modelling the underlying long-run trend of metal prices is important, given that selected metals are a source of income for many countries. However, estimating the underlying trend has proven to be difficult, given the persistence and volatility of primary commodity prices-metals are no...
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Economic uncertainty before and during the COVID-19 pandemic
Altig, Dave; Baker, Scott Brent; Barrero, Jose Maria; … - 2020
We consider several economic uncertainty indicators for the United States and the UK before and during the COVID-19 pandemic: implied stock market volatility, newspaper-based economic policy uncertainty, twitter chatter about economic uncertainty, subjective uncertainty about future business...
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Remittance concentration and volatility : evidence from 72 developing countries
Hosny, Amr - 2020
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Estimation of the price elasticity of petroleum products’ consumption in Ukraine
Galchynskyi, Leonid - In: Equilibrium : quarterly journal of economics and … 15 (2020) 2, pp. 315-339
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COVID-induced economic uncertainty
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; Terry, … - 2020
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The role of dividend policy in share price volatility
Pelcher, Lydia - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-10
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Dynamic volatility behaviour of stock markets in southern Africa
Mashamba, Tafirei; Magweva, Rabson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-8
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Distance(s) and the volatility of international trade(s)
Mehl, Arnaud; Schmitz, Martin; Tille, Cédric - 2019
Does distance matter for the volatility of international real and financial transactions? We show that it does, in addition to its well-established relevance for the level of trade. A simple model of trade with endogenous markups shows that demand shocks have a larger impact on trade between...
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Distance(s) and the volatility of international trade(s)
Mehl, Arnaud; Schmitz, Martin; Tille, Cédric - 2019
Does distance matter for the volatility of international real and financial transactions? We show that it does, in addition to its well-established relevance for the level of trade. A simple model of trade with endogenous markups shows that demand shocks have a larger impact on trade between...
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Is market liquidity less resilient after the financial crisis? : evidence for US treasuries
Broto, Carmen; Lamas, Matías - 2019
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Total, asymmetric and frequency connectedness between oil and forex markets
Baruník, Jozef; Kočenda, Evžen - 2019
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 - 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and...
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The impact of financial leverage on the variance of stock returns
Aharon, David Yechiam; Yagil, Yossi - In: International Journal of Financial Studies : open … 7 (2019) 1/14, pp. 1-18
This paper investigates the direct theoretical relationship between the variance of stock returns (σ2E) and financial leverage (L) considering both corporate and personal taxes. Using a dataset of U.S. industrial firms, we examine the variance of stock returns as a function of the firm’s...
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The impact of exchange rate volatility on exports in Vietnam : a bounds testing approach
Vinh Nguyen Thi Thuy; Duong Trinh Thi Thuy - In: Journal of risk and financial management : JRFM 12 (2019) 1/6, pp. 1-14
This paper investigates the impact of exchange rate volatility on exports in Vietnam using quarterly data from the first quarter of 2000 to the fourth quarter of 2014. The paper applies the autoregressive distributed lag (ARDL) bounds testing approach to the analysis of level relationships...
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Bivariate volatility modeling with high-frequency data
Matei, Marius; Rovira, Xari; Agell, Núria - In: Econometrics : open access journal 7 (2019) 3/41, pp. 1-15
We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural relationship between the realized measure...
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A survey on empirical findings about spillovers in cryptocurrency markets
Kyriazis, Nikolaos A. - In: Journal of risk and financial management : JRFM 12 (2019) 4/170, pp. 1-17
This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical results of relevant academic literature. Evidence reveals that Bitcoin is the most influential among digital coins mainly as a transmitter toward digital currencies but also as...
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Measuring China's stock market sentiment
Li, Jia; Chen, Yun; Shen, Yan; Wang, Jingyi; Huang, Zhuo - 2019
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Relationship between liquidity, volatility and trading activity : an intraday analysis of Indian stock market
Cheriyan, Namitha K.; Daniel, Lazar - In: International journal of economics and financial issues … 9 (2019) 1, pp. 17-22
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The spillover effect of shocks of fundamental factors and speculative activity on prices volatility of world vegetable oil
Fitrianti, Wanti; Syaukat, Yusman; Hartoyo, Sri; … - In: International journal of economics and financial issues … 9 (2019) 2, pp. 230-240
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Stock market reaction to terrorist attacks and political uncertainty : empirical evidence from the Tunisian stock exchange
Ben Moussa, Fatma; Talbi, Mariem - In: International journal of economics and financial issues … 9 (2019) 3, pp. 48-64
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019
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Foreign ownership and stock return volatility in Vietnam : the destabilizing role of firm size
Anh Tho To; Suzuki, Yoshihisa; Bao Ngoc Vuong; Quoc … - In: Organizations and markets in emerging economies 10 (2019) 2, pp. 356-377
This study aims to examine the relevance of foreign ownership to stock return volatility in the Vietnam stock market over ten years (2008 - 2017). After applying the fixed effects regressions and the extended instrumental variable regressions with fixed effects, we find that foreign ownership...
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"Chicago mercantile exchange bitcoin futures : volatility, liquidity and margin"
Luft, Carl F.; Lee, Jin Man; Choi, Jin W. - In: Spoudai : journal of economics and business 69 (2019) 3, pp. 55-74
This paper explores empirically the behavior of the Chicago Mercantile Exchange (CME) bitcoin futures contract. The analysis focuses on the time period between the launch of the CME bitcoin futures contract on December 18, 2017, and September 17, 2018. The behavior of the bitcoin spot market and...
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Dynamic responses of major equity markets to the US fear index
Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, pp. 1-23
This study examines the reaction of four major equity markets of the world to the US equity market fear index, i.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility in equity markets. Our paper examines the daily data for...
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Modelling the volatility of Bitcoin returns using GARCH models
Gyamerah, Samuel Asante - In: Quantitative finance and economics 3 (2019) 4, pp. 739-753
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Distance(s) and the volatility of international trade(s)
Mehl, Arnaud; Schmitz, Martin; Tille, Cédric - 2019 - This version: March 2019
Does distance matter for the volatility of international real and financial transactions? We show that it does, in addition to its well-established relevance for the level of trade. A simple model of trade with endogenous markups shows that demand shocks have a larger impact on trade between...
Persistent link: https://ebtypo.dmz1.zbw/10012004150
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Dynamics between trading volume, volatility and open interest in agricultural futures markets : a Bayesian time-varying coefficient approach
Czudaj, Robert L. - 2019
The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on the large literature for equity markets and by allowing for heterogeneity of investors beliefs proxied by open interest. In addition, time-varying effects on the transmission...
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012064799
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The nexus between loan portfolio size and volatility : does banking regulation matter?
Bremus, Franziska; Ludolph, Melina - 2019
Since the global financial crisis and the related restructuring of banking systems, bank concentration is on the rise in many countries. Consequently, bank size and its role for macroeconomic volatility (or: stability) is the subject of intense debate. This paper analyzes the effects of...
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
The primary objective of the study is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main sample was divided into two subperiods to insulate the...
Persistent link: https://ebtypo.dmz1.zbw/10012131511
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Russia's macroeconomy : a closer look at growth, investment, and uncertainty
Becker, Torbjörn - 2019
This paper looks at economic growth and its fundamental determinants in Russia over the last decades. It starts by showing that, contrary to the views of some political commentators, growth is highly important for the popularity of president Putin. Furthermore, regular models of growth are...
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Firms' subjective uncertainty and forecast errors
Morikawa, Masayuki - 2019
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Information content of stocks in call auction of shorter duration in emerging market
Bag, Dinabandhu - In: Copernican Journal of Finance & Accounting : CJF&A 8 (2019) 4, pp. 113-132
Persistent link: https://ebtypo.dmz1.zbw/10012242098
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Money laundering risk in developing and transitive economies : analysis of cyclic component of time series
Levchenko, Valentyna; Boyko, Anton; Bozhenko, Victoria; … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 20 (2019), pp. 492-508
Money laundering has become a global threat to the international stability and security, leading both to economic and social upheavals, and to an increase in terrorist threats. Therefore, an objective necessity arises for a more detailed study of the money laundering within the scope of its...
Persistent link: https://ebtypo.dmz1.zbw/10012221542
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Brexit and CDS spillovers across UK and Europe
Bouoiyour, Jamal; Selmi, Refk - In: European journal of comparative economics 16 (2019) 1, pp. 105-124
The purpose of the paper is twofold. First, it aims at identifying when UK and European (France, Germany, Italy and Spain) Credit Default Swaps(CDSs) exhibit explosivity with respect to their past behaviors. Second, it seeks to quantify the dynamics of CDS volatility spillover effects...
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Analysis of volatility volume and open interest for Nifty Index futures using GARCH analysis and VAR model
In: International Journal of Financial Studies : open … 9 (2021) 1/7, pp. 1-11
The generalized autoregressive conditional heteroscedastic model (GARCH) is used to estimate volatility for Nifty Index futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and open interest for Nifty Index futures traded on...
Persistent link: https://ebtypo.dmz1.zbw/10012422654
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Modelling volatile time series with v-transforms and copulas
McNeil, Alexander J. - In: Risks : open access journal 9 (2021) 1/14, pp. 1-26
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the time series and quantiles of the distribution of a...
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YOLO trading: Riding with the herd during the GameStop episode
Lyócsa, Štefan; Baumöhl, Eduard; Vŷrost, Tomáš - 2021
We explore the 2020 and early 2021 price variation of four stocks: GameStop, AMC Entertainment Holdings, Blackberry and Nokia. The four stocks were subject to a decentralized short squeeze that exploited the short positions of institutional investors. This investor movement was likely initiated...
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Preisvolatilität auf Agrarmärkten
Brümmer, Bernhard - 2021
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The cost of information in the blockchain : a discussion of Routledge and Zetlin-Jones (2018)
Sultanum, Bruno - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012437657
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New approach in dealing with the non-negativity of the conditional variance in the estimation of GARCH model
Settar, Abdeljalil; Fatmi, Nadia Idrissi; Badaoui, Mohammed - In: Central European journal of economic modelling and … 13 (2021) 1, pp. 55-74
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