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...

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...

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...

This study examines the moderating effects of the real exchange rate and its volatility on the finance-growth nexus in the West African region. It also determines the marginal effects of financial development on economic growth at various levels of the real exchange rates and its volatility. The...

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...

Most of the financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation-based methods. In this paper, we examine the Filtered Historical Simulation (FHS) model introduced by Barone-Adesi et al. (1999) theoretically and empirically. The main goal...

The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...

This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period 2010-2018. The empirical findings are consistent...

In this work, the financial data of 377 stocks of Standard & Poor’s 500 Index (S&P 500) from the years 1998–2012 with a 250-day time window were investigated by measuring realized stock returns and realized volatility. We examined the normal distribution and frequency distribution for both...

Despite real changes in the work place and the negative consequences of prevailing hierarchical structures with rigid management systems, little attention has yet been paid to shifting management modes to accommodate the dynamics of the external environment, particularly when a firm’s...

It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-min sampling frequency, the models can be...

The present work seeks to analyze the herding behavior phenomenon as a destabilizing factor of the capital market, while studying the relation between the herding behavior phenomenon and market profitability and volatility. The results allow us to verify the existence of a significant intensity...

This study focused on the impact of crude oil, crude palm oil spot and futures of prices on African equity markets. It draws on daily data from January 2000 till July 2013, obtained from Bloomberg. The study employed Vector Error Correction (VEC). Findings from the econometric analysis show that...

This article aims at verifying if there has been a structural change in the co-movement pattern of selected Central and Eastern Europe (CEE) over the ten-year period following the financial crisis. The empirical results confirmed that such a change was observed both in the correlation and...

This paper aims to select the best model or set of models for modelling volatility of the four most popular cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the exchange rates of each of these cryptocurrencies to...

We argue that existing methods for the treatment of missing observations in observation-driven models lead to inconsistent inference. We provide a formal proof of this inconsistency for a Gaussian model with time-varying mean. A Monte Carlo simulation study supports this theoretical result and...

This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and speculative demand equations in a GARCH...

We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite-horizon asset-pricing model with heterogeneous agents. In our model, the ability of agents to reuse frees up collateral that can be used to back more transactions. Re-use thus...

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the...

Empirical studies have shown that a large number of financial asset returns exhibit fat tails (leptokurtosis) and are often characterized by volatility clustering and asymmetry. This paper considers the ability of the asymmetric GARCH-type models (TGARCH, EGARCH, APGARCH) to capture the stylized...

The paper analyses the effects of technology-based innovative techniques on Bulgarian capital market -algorithmic trading, in general, and high frequency trading (HFT), in particular - from macroeconomic costs-benefits perspective. Overwhelmingly, empirical studies emphasize that HFT improves...

The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about...

This paper examines the impact of volatility-based fund classification on portfolio performance. Using historical data on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk Reward Indicator (SRRI), yields better Sharpe Ratios (SR)...

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and economic growth in South Africa. By using data collected from 1970 to 2016 applied to a smooth transition regression (STR) model, we are able to prove that the exchange...

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...

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...

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...

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates...

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates...

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....

This paper explores the extent to which government revenue is affected by external shocks, and whether these effects are different for resource-rich as compared with non-resource-rich countries. We are particularly interested in the fate of poorer countries, as we assume they will find it more...