|
|
|
|
|
Durga Acharya
Stock bubbles are characterized by unpredictable price surges and subsequent declines, causing significant losses for investors. This study investigates the effectiveness of the Generalized Sup Augmented Dickey?Fuller (GSADF) test in identifying mild exp...
ver más
|
|
|
|
|
|
|
|
|
|
|
Xinyu Wu, Xuebao Yin and Xueting Mei
We propose the EGARCH-MIDAS-CPU model, which incorporates the leverage effect and climate policy uncertainty (CPU) to model and forecast European Union allowance futures? (EUAF) volatility. An empirical analysis based on the daily data of the EUAF price ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Yixiao Jiang
This paper develops a test that helps assess whether the term structure of option implied volatility is constant across different levels of moneyness. The test is based on the Hausman principle of comparing two estimators, one that is efficient but not r...
ver más
|
|
|
|
|
|
|
|
|
|
|
Bachar FAKHRY
Pág. 98 - 121
JEL. C12, C58, D81, G01, G14, G15, G18, G40.
|
|
|
|
|
|
|
|
|
|
|
Bachar FAKHRY
Pág. 227 - 256
|
|
|
|
|
|
|
|
|
|
|
Chia-Lin Chang and Michael McAleer
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A sub...
ver más
|
|
|
|
|
|
|
|
|
|
|
Chia-Lin Chang and Michael McAleer
s-
|
|
|
|
|
|
|
|
|
|
|
Aye Aye Khin,Wong Hong Chau,Ung Leng Yean,Ooi Chee Keong,Raymond Ling Leh Bin
Pág. 33 - 40
There are two objectives of this study, first, it is to determine the impact of exchange rate volatility on Malaysian natural rubber (NR) prices of (SMR20 and RSS4); second, it is to forecast a short-term exchange rate (ERP) of Malaysian Ringgit (RM per ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Christian Rudolf RICHTER,Bachar FAKHRY
Pág. 524 - 535
JEL. B23, C12, C13, C58, G01, G14, G15, H63.
|
|
|
|
|
|
|
|
|
|
|
Fernanda Maria Muller,Fábio Mariano Bayer
Pág. 40 - 73
The Beta-Skew-t-EGARCH model was recently proposed in literature to model the volatility of financial returns. The inferences over the parameters of the model are based on maximum likelihood method. These estimators have good asymptotic properties, howe...
ver más
|
|
|
|
|
|
|
|
|
|
|
Masaru Chiba and Masahito Kobayashi
This paper proposes the Lagrange multiplier test for the null hypothesis that the bivariate time series has only a single common stochastic volatility factor and no idiosyncratic volatility factor. The test statistic is derived by representing the model ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Yuruixian Zhang, Wei Chong Choo, Jen Sim Ho and Cheong Kin Wan
Tourism forecasting has garnered considerable interest. However, integrating tourism forecasting with volatility is significantly less typical. This study investigates the performance of both the single models and their combinations for forecasting the v...
ver más
|
|
|
|
|
|
|
|
|
|
|
Weijia Peng and Chun Yao
This study classifies jumps into idiosyncratic jumps and co-jumps to quantitatively identify systematic risk and idiosyncratic risk by utilizing high-frequency data. We found that systematic risk occurs more frequently and has larger magnitudes than the ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Klaudia Jarno and Hanna Kolodziejczyk
In this paper, we shall compare the average volatility that characterises the main stablecoin design types with a view to answering the question of whether all stablecoin designs accomplish the goal of minimising their price fluctuations to the same degr...
ver más
|
|
|
|
|
|
|
|
|
|
|
Nidhi Malhotra,Saumya Gupta
Pág. 208 - 215
Although, the growth in the cryptocurrency market slowed down after the meteoric rise in late 2017, the market is still enjoying steady capital inflow. This has made the study of market dynamics between the cryptocurrencies and equity market indispensabl...
ver más
|
|
|
|
|
|
|
|
|
|
|
Yaman O. Erzurumlu,Giray Gozgor
Pág. 457 - 464
This paper empirically examines short- and long-run relationships between foreign direct investments (FDI) and volatility of foreign portfolio investments (FPI) in 12 Central and Eastern European (CEE) countries. We use the Generalized Autoregressive Con...
ver más
|
|
|
|
|
|
|
|
|
|
|
Rui Dias, Nicole Horta and Mariana Chambino
Climate change, the scarcity of fossil fuels, advances in clean energy, and volatility of crude oil prices have led to the recognition of clean energy as a viable alternative to dirty energy. This paper investigates the multifractal scaling behavior and ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Hamdan Abdul Hafidh Al-Farsi
Pág. 87 - 95
This paper assesses the level of adoption and implementation of enterprise risk management (ERM) in Oman publicly listed companies and explores the influence of Chief Risk Officer (CRO) on ERM effectiveness. The data was collected using a str...
ver más
|
|
|
|
|
|
|
|
|
|
|
Gurmeet Singh,Muneer Shaik
Pág. 16 - 23
This study investigates the expiration effects of stock index futures before and after the introduction Bank Nifty weekly options from April 2013 to June 2019. To check for the expiration effects, the volume and mean returns for expiration groups is comp...
ver más
|
|
|
|
|
|
|
|
|
|
|
Colin Ellis
Corporate bond defaults in different sectors often increase suddenly at roughly similar times, although some sectors see default rates jump earlier than others. This could reflect contagion among sectors?specifically, defaults in one sector leading to cr...
ver más
|
|
|
|
|
|