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Revisiting the volatility-growth relationship : some cross country evidence : 1978-2017
Raju, Y. N.; Acharya, Debashis - In: Cogent economics & finance 8 (2020) 1, pp. 1-23
This paper attempts a re-examination of the relationship between the output volatility and economic growth using an … integrated (HFI) and low financially integrated (LFI) country groups. Overall, the results indicate that output volatility as a … proxy of macroeconomic volatility has negative effect on economic growth. The results appear to be stronger when we include …
Persistent link: https://www.econbiz.de/10013179618
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Oil prices and African stock markets co-movement : a time and frequency analysis
Gourène, Grakolet Arnold Zamereith; Mendy, Pierre - In: Journal of African trade : official journal of the … 5 (2018) 1/2, pp. 55-67
This paper examines the co-movement between OPEC (Organization of Petroleum Exporting Countries) oil prices and the six largest African stock markets. We used wavelet coherence to analyze the evolution of this relationship both in time and by frequency. Our results show that the co-movement...
Persistent link: https://www.econbiz.de/10011956846
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Volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 crisis
Beraich, Mohamed; El Main, Salah Eddin - In: Risks : open access journal 10 (2022) 6, pp. 1-20
The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and … outbreak on the transmission of volatility among Moroccan banks listed in the Moroccan stock market. The data sample frequency … volatility spillover index increased during the pandemic crisis. We also found varying degrees of interdependence and spillover …
Persistent link: https://www.econbiz.de/10013363027
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Volatility integration in spot, futures and options markets : a regulatory perspective
Rastogi, Shailesh; Athaley, Chaitaly - In: Journal of risk and financial management : JRFM 12 (2019) 2/98, 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/10012022005
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"Chicago mercantile exchange bitcoin futures : volatility, liquidity and margin"
Luft, Carl F.; Lee, Jin Man; Choi, Jin W. - In: Spoudai : journal of economics and business 69 (2019) 3, pp. 55-74
dimensions: price, volatility and liquidity. By comparing the Garman-Klass volatilities of bitcoin spot and futures prices with … those of different assets, we find that both the bitcoin spot and futures markets exhibit relatively high volatility … market shows a mid-level liquidity. We also find while the exchange margin is set to meet the normal price volatility that …
Persistent link: https://www.econbiz.de/10012172784
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Technical analysis accuracy at Macedonian Stock Exchange
Ivanovski, Zoran; Ivanovska, Nadica; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 8 (2017) 2, pp. 105-118
The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...
Persistent link: https://www.econbiz.de/10011780553
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An application of MCMC methods in stochastic volatility model
Habibi, Reza - In: Journal of applied finance & banking 1 (2011) 4, pp. 269-276
variable appears in the option pricing problem under the stochastic volatility assumption. Two real data sets are considered …. -- conditional distribution ; equity returns ; MCMC ; mean variance ; option pricing ; stochastic volatility ; S&P 500 ; total …
Persistent link: https://www.econbiz.de/10009540021
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Oil price fluctuations and economic growth : the case of MENA countries
Abdelsalam, Mamdouh Abdelmoula Mohamed - In: Review of economics and political science : REPS 8 (2023) 5, pp. 353-379
Purpose - This paper aims to explore the extreme effect of crude oil price fluctuations and its volatility on the …. Findings - The paper can summarize results as following: changes in oil price and its volatility have an opposite effect for … each oil-export and oil-import countries; for the former, changes in oil prices have a positive impact but the volatility a …
Persistent link: https://www.econbiz.de/10014444687
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Stationary threshold vector autoregressive models
Grynkiv, Galyna; Stentoft, Lars - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-23
This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...
Persistent link: https://www.econbiz.de/10011895647
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A comprehensive statistical analysis of the six major crypto-currencies from August 2015 through June 2020
Mendes, Beatriz Vaz de Melo; Fluminense Carneiro, André - In: Journal of risk and financial management : JRFM 13 (2020) 9/192, pp. 1-21
weakly autocorrelated and confirmed the presence of long memory as well as short memory in the GARCH volatility, (4) used an …
Persistent link: https://www.econbiz.de/10012386865