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Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN Journal of Applied Statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012604575

Information Spillover, Volatility and the Currency Markets for the Binary Choice Model

Omrane, Walid Ben; Hafner, Christian M. - In: International Econometric Review (IER) 1 (2009) 1, pp. 50-62

multivariate GARCH model with exogenous news effects, we find that the initial impact of positive news on the volatility of the … that an important part of the impact on the Yen and Pound is induced by volatility spillover from the Euro. …

Persistent link: https://www.econbiz.de/10012610925

Does the assumption on innovation process play an important role for filtered historical simulation model?

Altun, Emrah; Tatlidil, Huseyin; Ozel, Gamze; … - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-13

Most of the financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation-based methods. In this paper, we examine the Filtered Historical Simulation (FHS) model introduced by Barone-Adesi et al. (1999) theoretically and empirically. The main goal...

Persistent link: https://www.econbiz.de/10012610995

Variance swap replication: Discrete or continuous?

Le Floc'h, Fabien - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-15

The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...

Persistent link: https://www.econbiz.de/10012610999

Investigation of the financial stability of S&P 500 using realized volatility and stock returns distribution

Akter, Nahida; Nobi, Ashadun - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-10

250-day time window were investigated by measuring realized stock returns and realized volatility. We examined the normal … distribution and frequency distribution for both daily stock returns and volatility. We also determined the beta-coefficient and …. We compared the stock volatility and stock returns for specific time periods i.e., non-crisis, before crisis and during …

Persistent link: https://www.econbiz.de/10012611010

Asymmetrical linkages between foreign exchange and stock markets: Empirical evidence through linear and non-linear ARDL

Luqman, Rabia; Kouser, Rehana - In: Journal of Risk and Financial Management 11 (2018) 3, pp. 1-13

The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about...

Persistent link: https://www.econbiz.de/10012611019

The impact of exchange rate volatility on exports in Vietnam: A bounds testing approach

In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-14

This paper investigates the impact of exchange rate volatility on exports in Vietnam using quarterly data from the … testing approach to the analysis of level relationships between effective exchange rate volatility and exports. Using the … results show that exchange rate volatility negatively affects the export volume in the long run, as expected. A depreciation …

Persistent link: https://www.econbiz.de/10012611087

Volatility integration in spot, futures and options markets: A regulatory perspective

Rastogi, Shailesh; Athaley, Chaitaly - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-15

The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …

Persistent link: https://www.econbiz.de/10012611100

A survey on empirical findings about spillovers in cryptocurrency markets

Kyriazis, Nikolaos A. - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-17

This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical … but volatility spillovers often present a bi-directional character. Volatility shock transmission is detected among …

Persistent link: https://www.econbiz.de/10012611213

Dynamic responses of major equity markets to the US fear index

Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of Risk and Financial Management 12 (2019) 4, 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/10012611227