We look into determinants (volatility, crises, sentiment and the U.S. 'fear' index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …

indicate that (1) the volatility of a stock's returns and its centrality measures in the stock network are the main sources … exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality …

moderation of output volatility compared to the well-known break during the mid-1980s. The period of analysis runs from 1962Q2 to … unconditional volatility and procedures of structural break detection (Inclan-Tiao test and autoregressive conditional …

It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

Autoregressive Conditionally Heteroskedastic (fGARCH) model were applied to study the volatility of the Autoregressive Fractionally …

This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models … investigation of the volatility, VaR, and backtesting of the daily stock price of Total Nigeria Plc is important as most previous …

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

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. …