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Hedging dynamics and intraday volatility in equity market : an analysis of Covid-19 pandemic and global financial crisis

Misra, Nachiketa; Lakshmi, P; Thenmozhi, M. - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 819-834

Persistent link: https://www.econbiz.de/10013477319

Comparing risk profiles of international stock markets as functional data : COVID-19 versus the global financial crisis

Shackleton, Ryan; Das, Sonali; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014364821

Dynamic responses of major equity markets to the US fear index

Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, pp. 1-23

.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …

Persistent link: https://www.econbiz.de/10012173007

The global component of inflation volatility

Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2018

Persistent link: https://www.econbiz.de/10011960151

Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression

Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78

Persistent link: https://www.econbiz.de/10011326305

Volatility modeling and dependence structure of ESG and conventional investments

Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25

financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of …, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …

Persistent link: https://www.econbiz.de/10012805838