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Volatility asset pricing model as an alternative approach?

Kuklik, Robert G.; Vacek, Vladislav - In: European financial and accounting journal : EFAJ 8 (2013) 1, pp. 39-66

inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial …

Persistent link: https://www.econbiz.de/10011460249

European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...

Persistent link: https://www.econbiz.de/10011471074

Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?

Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44

-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized … are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …

Persistent link: https://www.econbiz.de/10011471089

Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises

Saadaoui, Amir; Boujelbene, Younes - In: Emerging Markets Journal : EMAJ 5 (2015) 1, pp. 41-49

Persistent link: https://www.econbiz.de/10011492048

Time-varying linkages of economic activities in China and the stock markets in ASEAN-5

Teng, Kee Tuan; Yen, Siew Hwa; Chua, Soo Yean; Hooi … - In: Contemporary economics 10 (2016) 2, pp. 137-152

This study attempts to investigate the evolution of dynamic linkages and volatility spillover between the five … policies. The VAR model Granger causality test observed no volatility spillover from Chinese economic activities to the ASEAN-5 … stock markets, except for Malaysia and the Philippines. However, the ASEAN-5 stock markets' volatility exerts a significant …

Persistent link: https://www.econbiz.de/10011515815

Reserve options mechanism : the new monetary policy tool of CBRT and its effect on exchange rate volatility

Gok, Ibrahim Yasar - In: International journal of business and economic sciences … 9 (2016) 3, pp. 50-54

this study, it is aimed to examine the effect of the ROM on USD/TL exchange rate volatility. Design … volatility are analyzed by applying GARCH (1,1) model and using the data for the period 09.30.2011- 06.03.2016. Findings – It is … found that the ROM significantly decreases the exchange rate volatility, which indicates the effectiveness of the ROM. The …

Persistent link: https://www.econbiz.de/10011593647

Improving Value-at-Risk estimation from the normal EGARCH model

Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary economics 11 (2017) 1, pp. 91-106

Returns in financial assets display consistent excess kurtosis and skewness, implying the presence of large fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias-correction step to improve Value-at-Risk (VaR) forecasting ability...

Persistent link: https://www.econbiz.de/10011632622

The effect of oil price volatility, board of directors characteristics on firm performance of Iraq listed companies : a conceptual framework

Gedi, Firas Farhan; Sabri Nayan - In: International journal of economics and financial issues … 8 (2018) 5, pp. 342-350

Persistent link: https://www.econbiz.de/10011980045

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use …

Persistent link: https://www.econbiz.de/10012174118

Data-driven analysis of the real-time electricity price considering wind power effect

Yang, Shengjie; Xu, Xuesong; Liu, Jiangang; Jiang, Weijin - In: Energy reports 6 (2020) 2, pp. 452-459

The electricity price is the sensitive signal of the supply-demand balance and some other market incidents. The analysis of the price data can provide plenty of the market information. It is helpful for the participants to understand the market and improve future strategies. However, most of the...

Persistent link: https://www.econbiz.de/10012181064