Search Results - subject_exact:"Volatility"

Normalising flow enhanced GARCH models : a two-stage framework for flexible innovation modelling in financial time series

Hassan, Abdullah; Mlambo, Farai; Mongwe, Wilson Tsakane - 2026

We introduce the Normalising Flow GARCH (NF-GARCH), a two-stage hybrid framework that enhances traditional GARCH models by replacing restrictive parametric innovation distributions with learned densities via normalising flows. Our approach preserves the interpretability of standard variance...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656145

Geopolitical risks, market volatility, and tech firms involved in quantum computing

Panazan, Oana; Gheorghe, Cătălin - 2026

This study examines how global uncertainty influences the financial dynamics of technology firms involved in quantum computing, a strategically significant but structurally fragile segment of emerging deep-tech markets. Using daily data from January 2015 to May 2025, the analysis integrates...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667694

Assessing the financial impact of ESG portfolio optimization and diversification in an emerging market : evidence from Mexico

Fosado Olvera, Paula Margarita; Castillo Dieguez, … - 2026

This paper evaluates the financial implications of scaling and diversifying stock portfolios based on environmental, social, and governance (ESG) criteria in the Mexican Stock Exchange. By using a sample of firms from the S&P/BMV IPC index (2020-2024), four portfolios were constructed: High ESG,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664813

Long memory and asymmetric uncertainty effects on stock returns and volatility : a fractional integration approach

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

This paper investigates how Economic Policy Uncertainty (EPU) affects the returns and volatility (proxied by squared returns) of 448 S&P 500 stocks over the period January 2010-December 2020, and whether volatility persistence is related to EPU sensitivity. Persistence is measured with three...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015674950

Dollar dominance: a source of dollar volatility?$Cara Bordier, Lukas Frei, Simon Stalder

Bordier, Cara; Frei, Lukas; Stalder, Simon - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672519

Attention under fire : the effect of wartime public focus on Israel's stock and exchange rate

Papanikolaou, Nikolaos; Vasileiou, Evangelos; Pantos, … - 2026

This study examines the impact of public attention on financial markets during the Israel-Hamas conflict, focusing on the TA35 stock index and the Israeli Shekel (ILS) exchange rate over the period October 2023 to April 2025. By distinguishing between global and domestic Google search activity,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059365

Beyond volatility : a leakage-safe residual-stress signal for drawdown risk monitoring

Liu, Ting - 2026

Monitoring equity drawdown risk requires real-time indicators that can be implemented without look-ahead bias and that may add information beyond standard volatility measures. This study develops a leakage-safe residual-stress indicator from cross-sectional PCA reconstruction errors in U.S....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059391

Nonparametric autoregressive copula forecasting via boundary-reflected kernel estimation

Soares, Guilherme Colombo; Laurini, Márcio Poletti - 2026

We propose a fully nonparametric empirical autoregressive copula framework for univariate time series, designed to capture nonlinear and asymmetric serial dependence while exactly preserving the empirical marginal distribution. The method decouples marginal behavior from temporal dependence by...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059399

India's macroeconomic response to global shocks : evidence from oil prices, financial crisis and COVID-19

Bhardwaj, Nikhil; Miklošević, Ivana; Chauhan, Nalinee - 2026

In past decades, the macroeconomic stability of India has been tested repeatedly by major global disruptions, including oil price shocks, the 2008 global financial crisis and the COVID-19 pandemic. Analysing how macroeconomic variables respond to these shocks is essential for evaluating external...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059556

Survey design and professional forecasters : the case of uncertainty in the US SPF

Knüppel, Malte; Pavlova, Lora - 2026

Histogram forecasts of inflation and growth from the US Survey of Professional Forecasters (SPF) allow for an assessment of the evolution of forecast uncertainty. However, this assessment is complicated by structural breaks in measured uncertainty arising from changes in histogram bin widths...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636379

The relationship between stablecoin and cryptocurrency returns during periods of market stress

Boido, Claudio; Jones, Lewin - 2026

Active asset managers increasingly include cryptocurrencies in their alternative asset allocations, highlighting their speculative and volatile nature. The aim of this research is to examine trends in the returns and volatility of cryptocurrencies, whilst accounting for the depegging of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064356

Speculative trading in energy markets : evidence from macroeconomic surprises

Boucher, Simon-Pierre; Gagnon, Marie-Hélène; Power, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064015

The role of the stock exchange infrastructure in attracting investments into the country's economy using the example of the Republic of Poland (1989-2026)

Lyashenko, Sergiy; Baranovskyi, Oleksandr - 2026

The purpose of the study was to substantiate the mechanisms of interaction of the stock exchange infrastructure of Poland's stock market with investment processes in the context of institutional and structural transformation of the economy. The methodological basis of the study was economic and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016062118

Cryptocurrency responses to U.S. monetary policy shocks : a data-driven exploration of price and volatility patterns

Buthelezi, Eugene Msizi - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371937

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372003

Unraveling Turkish agricultural market challenges : consequences of COVID-19, Russia-Ukraine conflict, and energy market dynamics

Urak, Faruk - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015373842

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272991

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,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338312

Volatility analysis of the Indian stock market : insights from Bank Nifty Index and futures trading

Paientko, Tetiana; Pundir, Rashmi Ravindra Kumar - 2025

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015417101

When no news is good news : multidimensional heterogeneous beliefs in financial markets

Gao, Can; Han, Brandon Yueyang - 2025

We demonstrate the asset pricing implications of investors' belief heterogeneity in the frequency of news arrival and its joint impact with heterogeneous beliefs about news content. Investors trade volatility derivatives against each other to speculate on the rate of news arrival: greater...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015420719

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When no news is good news : multidimensional heterogeneous beliefs in financial markets

Gao, Can; Han, Brandon Yueyang - 2025

Book / Working Paper

Spatial and spatiotemporal volatility models : a review

Otto, Philipp; Doğan, Osman; Taṣpınar, Süleyman; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015463226

Spillovers into the German electricity market from the gas, coal, and CO₂ emissions markets

Ioannidis, Filippos; Kosmidou, Kyriaki; Theodossiou, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464887

Spillover effect of food producer price volatility in Indonesia

Theresia, Anita; Ikhsan, Mohamad; Kacaribu, Febrio Nathan; … - 2025

Food price volatility is a persistent challenge in Indonesia, where agriculture is central to food security and rural livelihoods. While price transmission has been studied, little is known about how volatility spreads sub-nationally in archipelagic economies with fragmented infrastructure. This...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015466444

The technology link between short-term and long-term electricity markets : the case of Spain

Davi-Arderius, Daniel; Jamasb, Tooraj - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015467623

Corporate resilience against the COVID-19 crisis : how valuable is an Islamic label?

Al Mamun, Mohammed Abdullah; Rahman, Md Lutfur; Haque, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015470324

ETFs and the price volatility of underlying bonds

Agapova, Anna; Kaprielyan, Margarita; Volkov, Nikanor - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015470961

When tails are heavy : the benefits of variance-targeted, non-Gaussian, quasi-maximum likelihood estimation of GARCH models

Prono, Todd - 2025 - This version: July 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471286

Sustainable investments : assessment of risks

Omeir, Ahmad Kaab; Štreimikienė, Dalia; … - 2025

Sustainable investments become a more and more relevant topic in all fields of economics. It is essential to measure both the benefits of sustainable products and risks. This article examines the risks associated with sustainable investments, mainly focusing on green bonds. It highlights...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015450644

Can the oil price stabilisation fund reduce the volatility of domestic prices?

Anh, Pham The - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015454605

The relationship between market depth and liquidity fragility in the treasury market

Meldrum, Andrew; Sokolinskiy, Oleg - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015406653

From tweets to trades : the dynamic dance of investor sentiment, attention, and news sentiment in ESG stocks

Ooi Kok Loang - 2025

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015411466

The Russia-Ukraine conflict and stock markets : risk and spillovers

Leone, Maria; Manelli, Alberto; Pace, Roberta - 2025

Globalization and the spread of technological innovations have made world markets and economies increasingly unified and conditioned by international trade, not only for sales markets but above all for the supply of raw materials necessary for the functioning of the production complex of each...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015436785

Stock prices volatility as an input to the economic assessment of the nuclear power plant in the real option method

Krysiak, Zbigniew - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609330

Financial markets, financial volatility and beyond

2025 - 3rd edition

This Special Issue brings together 17 original research articles offering timely and impactful insights into the evolving landscape of finance and risk management. The contributions span a broad geographical scope - from small island economies to major global markets - and address critical...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609807

Estimating corporate bond market volatility using asymmetric garch models

Hadad, Elroi; Fridman, Amit Malka; Yosef, Rami - 2025

This study investigates the volatility of the Israeli corporate bond market, where corporate bonds are traded on a Limit Order Book (LOB) exchange with high retail trading activity. Using data from the Tel-Bond 20 and Tel-Bond 60 indices, we estimate various asymmetric GARCH models to capture...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015555984

The spectre of terrorism and the stock market

Hanna, Alan J.; Turner, John D.; Walker, Clive - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556164

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The spectre of terrorism and the stock market

Hanna, Alan J.; Turner, John D.; Walker, Clive B. - 2022

Book / Working Paper

How does the volatility of ESG stock indices spillover in times of high geopolitical risk? : new insights from emerging and developed markets

Karkowska, Renata; Urjasz, Szczepan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015588357

Combining deep learning with econometric models : volatility forecasting using the KAN-GARCH-MIDAS framework

Liu, Ting; Choo, Weichong; Xinping, Han; Li, Le - 2025

Machine learning and deep learning are increasingly applied in finance, yet few studies explore how they can enhance traditional econometric models. This study proposes an innovative KAN-GM model, integrating the Kolmogorov-Arnold network (KAN) with the GARCH-MIDAS model to extract nonlinear...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625354

Green energy stocks & market trends : an overview of contemporary literature

Topa, Răzvan - 2025

The energy sector has gained increasing importance in recent years, playing a vital role in economic development at both national and global levels, especially in the shift towards a zero-carbon economy. This study provides a comprehensive overview, analysing green energy stocks and their trends...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639895

Modeling prices from speculative markets : bursting bubbles or deflating balloons?

Hafner, Christian M.; Harvey, Andrew C.; Wang, Linqi - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643088

Connectedness of uncertainty, volatility, and stock market performance

Urjasz, Szczepan - 2025

This study examines the dynamic connectedness and spillover effects among various financial and economic indicators, including uncertainty indices, market volatility, and stock market indices, from 3 June 2008, to 30 December 2024. This interconnectedness implies that shocks originating in one...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650554

A note on the determinants of non-fungible tokens returns

Panagiōtidēs, Theodōros; Papapanagiotou, Georgios - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015482606

Does presidential debate bring optimism? : a study of Indonesia’s 2024 pre-election year

Fidiana, Fidiana; Retnani, Endang Dwi; Widyawati, Dini - 2025

The political future is inherently unpredictable, particularly in the run-up to elections. This article analyses whether such uncertainty matters. In this paper, we raise an interesting issue of the impact of political debate on the stock market of a developing country. Specifically, we...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015559958

Measuring climate-related financial market volatility in the Southern African Development Community

Maiti, Moinak; Chipeta, Chimwemwe - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015561348

News intensity and asset returns : the case of currency volatility

Avioz, Ilanit; Kedar-Levy, Haim; Pungulescu, Crina - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015508886

Quantifying asset price volatility with fractional Brownian motion

Iurchenko, Maryna; Šaltyte-Vaisiauske, Laura; Babenko, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015666905

Retail investors, COVID and the quality of the New Zealand Stock Exchange

Gilbert, Aaron; Tourani Rad, Alireza - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667258

Impact of financial development on economic growth volatility : moderating role of innovation in developed and developing economies

Mushtaq, Mansoor; Hameed, Gulnaz; Mahmood, Nasir; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664218

An econometric investigation on the stability of stablecoins : are these coins stable or is their stability just a flip of the coin?

AlAsadi, Lala; Bewaji, Oluwasegun; Gugnani, Aayush; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015666861

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An econometric investigation on the stability of stablecoins : are these coins stable or is their stability just a flip of the coin?

AlAsadi, Lala; Bewaji, Oluwasegun; Gugnani, Aayush; … - 2025

Book / Working Paper

Interconnected dynamics of REITs and other financial Instruments in ASEAN : a comprehensive analysis

Danila, Nevi - 2025

This paper investigates the volatility spillover between Real Estate Investment Trusts (REITs) and other financial instruments and macroeconomic variables, such as currency, stock, oil, and interest rates in three ASEAN countries. The study uses a time-varying vector autoregression (TVP-VAR)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016084859