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Revisiting the anomalous relationship between inflation and real estate investment trust returns in presence of structural breaks : empirical evidence from the USA and the UK

Das, Mahamitra; Sarkar, Nityananda - In: International journal of economics and financial issues … 10 (2020) 1, pp. 250-258

Persistent link: https://www.econbiz.de/10012151329

Reaction of stock market index to oil price shocks

Shirazi, Masoud; Meibodi, Ali Emami - In: Iranian economic review : journal of University of Tehran 24 (2020) 1, pp. 99-128

Persistent link: https://www.econbiz.de/10012153454

Modeling gold volatility : realized GARCH approach

Abounoori, Esmaiel; Zabol, Mohammad Amin - In: Iranian economic review : journal of University of Tehran 24 (2020) 1, pp. 299-311

Persistent link: https://www.econbiz.de/10012153501

Interest rate and exchange rate volatility spillovers : multiscale perspective of monetary policy transmission in Ghana

Akosah, Nana Kwame; Alagidede, Paul; Schaling, Eric - In: Journal of central banking theory and practice 9 (2020) 1, pp. 135-167

Persistent link: https://www.econbiz.de/10012167220

News-driven expectations and volatility clustering

Inoua, Sabiou M. - In: Journal of risk and financial management : JRFM 13 (2020) 1/17, pp. 1-14

Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and …

Persistent link: https://www.econbiz.de/10012173087

Equity option pricing with systematic and idiosyncratic volatility and jump risks

Li, Zhe - In: Journal of risk and financial management : JRFM 13 (2020) 1/16, pp. 1-18

structure. In this paper, the importance of systematic and idiosyncratic volatility and jump risks on individual equity option … volatility and jumps, which takes into account four types of risks, i.e., the systematic diffusion, the idiosyncratic diffusion …

Persistent link: https://www.econbiz.de/10012173091

On the market efficiency and liquidity of high-frequency cryptocurrencies in a bull and bear market

Zhang, Yuanyuan; Chan, Stephen; Chu, Jeffrey; Sulieman, Hana - In: Journal of risk and financial management : JRFM 13 (2020) 1/8, pp. 1-14

The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in...

Persistent link: https://www.econbiz.de/10012173261

Parsimonious heterogeneous ARCH models for high frequency modeling

Teran, Juan Carlos Ruilova; Morettin, Pedro Alberto - In: Journal of risk and financial management : JRFM 13 (2020) 2/38, pp. 1-19

heterogeneous information present in the financial market and the long memory of volatility. Some theoretical properties of this …

Persistent link: https://www.econbiz.de/10012173694

Pricing of commodity derivatives on processes with memory

Benth, Fred Espen; Khedher, Asma; Vanmaele, Michèle - In: Risks : open access journal 8 (2020) 1/8, pp. 1-32

Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...

Persistent link: https://www.econbiz.de/10012204043

The signaling effects of fiscal announcements

Melosi, Leonardo; Morita, Hiroshi; Rogantini Picco, Anna; … - 2024

Persistent link: https://www.econbiz.de/10015055584