Search Results - subject:"volatility."

Robust control and CAPMs under a quadratic model with inflation-deflation risk

Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024

Persistent link: https://www.econbiz.de/10014549675

Forecasting stock market realized volatility using random forest and artificial neural network in South Africa

Diane, Lamine; Brijlal, Pradeep - In: International journal of economics and financial issues … 14 (2024) 2, pp. 5-14

Persistent link: https://www.econbiz.de/10014581568

Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de/10014581582

Assessing the vulnerability of national food security to international food price shocks : a new index

Minot, Nicholas W.; Vos, Rob; Kim, Soonho; Park, Beyeong; … - 2024

Persistent link: https://www.econbiz.de/10014582853

Food trade policy and food price volatility

Martin, Will; Mamun, Abdullah; Minot, Nicholas W. - 2024

Persistent link: https://www.econbiz.de/10014583007

The effects of exchange rate fluctuation on Bangladeshi exports : an ARDL bound testing technique

Khan, Md. Monir; Ahmed, Asif - In: International journal of economics and financial issues … 14 (2024) 3, pp. 125-131

Persistent link: https://www.econbiz.de/10014584836

Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation

Tong, Kevin Z. - In: Journal of management science and engineering 9 (2024) 2, pp. 239-253

This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi …

Persistent link: https://www.econbiz.de/10014632198

The tail risk safe haven property of China's energy futures against US market implied volatility

Dai, Xingyu; Dai, Peng-Fei; Wang, Qunwei; Ouyang, Zhi-Yi - In: Journal of management science and engineering 9 (2024) 2, pp. 271-291

This paper analyses the tail risk contagion of US market implied volatility (USIV) on China's energy futures (CEF … gold and stock market implied volatility. Coking coal futures also assist short-position investors in countering US stock … market implied volatility tail risk. Second, in the sub-period analysis, the safe haven attributes of CEF exhibit strong …

Persistent link: https://www.econbiz.de/10014632205

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

Nelson, Andell; Cox, Delvin - 2024

Persistent link: https://www.econbiz.de/10014634015

Financial asymmetries, risk sharing and growth in the EU

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

Persistent link: https://www.econbiz.de/10014634019