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Spreading the fear : the central role of CBOE VIX in global stock market uncertainty

Smales, Lee A. - In: Global finance journal 51 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013431588

Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)

Zhang, Hang; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-42

financial crisis (only China was affected). There was no herding during the European debt crisis and COVID. With regard to the … crises. The U.S. ‘fear’ index has a short-lived, limited effect on CSAD/herding (during COVID only) for all countries except …

Persistent link: https://www.econbiz.de/10013164975

Modelling market indices, commodity market prices and stock prices of energy sector using VAR with variance decomposition model

Meher, Bharat Kumar; Hawaldar, Iqbal Thonse; Kumar, Santosh - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 4, pp. 122-130

Persistent link: https://www.econbiz.de/10013366034

Whether high frequency intraday data behave randomly : evidence from NIFTY 50

Roy, Subrata - In: Theoretical and applied economics : GAER review 29 (2022) 2/631, pp. 65-80

Persistent link: https://www.econbiz.de/10014325347

Asymmetric information flow between exchange rate, oil, and gold : new evidence from transfer entropy approach

Maiti, Moinak; Kayal, Parthajit - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-14

December 2021. Further, the dataset is bifurcated for analysis for before and during COVID. The bidirectional information flow … is observed between EUR/USD and Oil for the whole study period unlike before COVID. However, during COVID, there was a …→EUR/USD. The study estimates also indicate that before COVID, the direction of information flow was from Oil→Gold. However, the …

Persistent link: https://www.econbiz.de/10014301581

Aging, the great moderation and business-cycle volatility in a life-cycle model

Heer, Burkhard; Rohrbacher, Stefan; Scharrer, Christian - 2014

According to empirical studies, the life cycle of labor supply volatility exhibits a U-shaped pattern. This may lead to the conclusion that demographic change induces a drop in output volatility. We present an overlapping generations model that replicates the empirically observed pattern and...

Persistent link: https://www.econbiz.de/10010231628