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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656145

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636379

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664813

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

Buthelezi, Eugene Msizi - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015470324

ETFs and the price volatility of underlying bonds

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015450644

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

Anh, Pham The - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650554

A note on the determinants of non-fungible tokens returns

Panagiōtidēs, Theodōros; Papapanagiotou, Georgios - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015482606

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://www.econbiz.de, 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

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015508886

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664218

Quantifying asset price volatility with fractional Brownian motion

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666905

Measuring price spillovers: an investigation of relative price changes in Trinidad and Tobago

Nelson, Andell; Cox, Delvin - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014634015

Financial asymmetries, risk sharing and growth in the EU

Cavallaro, Eleonora; Villani, Ilaria - 2024 - 1st edition

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014634019

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015071152

Enhancing forecasting accuracy in commodity and financial markets : insights from GARCH and SVR Models

Ampountolas, Apostolos - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015100922

A note on the determinants of NFTs returns

Panagiōtidēs, Theodōros; Papapanagiotou, Georgios - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014529017

Oil price uncertainty and the relation to tanker shipping

Pouliasis, Panos K.; Bentsos, Christos - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014533431

Volatility dynamics of base metal futures : empirical evidence from an emerging economy

Samal, Laxmidhar - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014535532

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Volatility dynamics of base metal futures: Empirical evidence from an emerging economy

Samal, Laxmidhar - 2024

Article

Does natural gas volatility affect Bitcoin volatility? : evidence from the HAR-RV model

Omura, Akihiro; Cheung, Adrian Wai Kong; Su, Jen-je - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014440071

Financial interdependencies : analyzing the volatility linkages between real estate investment trusts, Sukuk, and oil in GCC countries

Danila, Nevi - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015117723

Investor sentiment, unexpected inflation, and Bitcoin basis risk

Conlon, Thomas; Corbet, Shaen; Oxley, Les - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015110733

Geopolitical volatility and subsidiary investments

Adarkwah, Gilbert Kofi; Dorobantu, Sinziana; Sabel, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015114722

The impact of the COVID-19 pandemic and the Russian invasion of Ukraine on Gold markets

Morina, Fisnik; Misiri, Valdrin; Dinaj, Saimir; Grima, Simon - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015052561