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Implied volatility index for the Norwegian equity market
Bugge, Sebastian A.; Guttormsen, Haakon J.; Molnár, Peter - In: International review of financial analysis 47 (2016), pp. 133-141
Persistent link: https://www.econbiz.de/10011624091
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Asymmetric causality in-mean and in-variance among equity markets indexes
González Sánchez, Mariano - In: The North American journal of economics and finance : a … 36 (2016), pp. 49-68
Persistent link: https://www.econbiz.de/10011672599
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Risk-return relationship in Asian, American and European stock markets
Mittal, Ruhee; Narwal, Karam Pal; Sheera, Ved Pal - In: The Singapore economic review : journal of the Economic … 66 (2021) 5, pp. 1397-1420
Persistent link: https://www.econbiz.de/10012664116
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Stock market response to Covid-19 pandemic period in Asian equity markets : an event study
Babu, Manivannan; Hariharan, C.; Kathiravan, Chinnadurai; … - In: Finance India : the quarterly journal of Indian … 37 (2023) 1, pp. 147-160
Persistent link: https://www.econbiz.de/10014413961
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The cross-market dynamic effects of liquidity on volatility : evidence from Chinese stock index and futures markets
Qiao, Gaoxiu; Teng, Yuxin; Xu, Yanyan; Wang, Lu - In: Applied economics 52 (2020) 1, pp. 85-99
Persistent link: https://www.econbiz.de/10012197378
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Intraday return and volatility spillover mechanism from Chinese to Japanese stock market
Nishimura, Yusaku; Tsutsui, Yoshirō; Hirayama, Kenjiro - In: Journal of the Japanese and international economies : … 35 (2015), pp. 23-42
Persistent link: https://www.econbiz.de/10011380505
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The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market
Gao, Zhenbin; Zhang, Jie - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014483735
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A comparative GARCH analysis of macroeconomic variables and returns on modelling the Kurtosis of FTSE 100 implied volatility index
Alsheikhmubarak, Abdulilah Ibrahim; Giouvris, Evangelos - In: Multinational finance journal 22 (2018) 3/4, pp. 119-172
Persistent link: https://www.econbiz.de/10012547707
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Effectiveness of a Time-Varying Hedge Ratio : Evidence from NSE Stock Index Returns
Rajhans, Rajni Kant - 2015
There is no dearth of research in the area of Optimal Hedge Ratio estimation. The general consent goes towards use of Multivariate Generalized Autoregressive Conditionally Heteroscedastic (MGARCH) model because of superior outcomes having low portfolio volatilities over other models (like: OLS...
Persistent link: https://www.econbiz.de/10013035194
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Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo - 2020
volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … importance of taking asymmetric effects (leverage effects) into account in volatility forecasts when it comes to risk management …
Persistent link: https://www.econbiz.de/10012292347