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Information-theoretic measures and modeling stock market volatility : a comparative approach

Sheraz, Muhammad; Nasi, Imran - In: Risks : open access journal 9 (2021) 5, pp. 1-20

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of … volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and … before the coronavirus disease (COVID-19 pandemic). The paper aims to present the volatility estimations and quantification …

Persistent link: https://www.econbiz.de/10012596360

Crude oil price and exchange rate : an analysis of the asymmetric effect and volatility using the non linear autoregressive distributed lag and general autoregressive conditional h...

Saidi, La Ode; Aedy, Hasan; Saranani, Fajar; … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 1, pp. 104-108

Persistent link: https://www.econbiz.de/10012435288

The global component of inflation volatility

Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2018

Persistent link: https://www.econbiz.de/10011960151

Mean and variance equation dynamics : time deformation, GARCH, and a robust analysis of the London housing market

Cook, Steve; Watson, Duncan - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 304-318

Persistent link: https://www.econbiz.de/10011960361

Modelling exchange rate volatility with random level shifts

Li, Ye; Perron, Pierre; Xu, Jiawen - In: Applied economics 49 (2017) 26, pp. 2579-2589

Persistent link: https://www.econbiz.de/10011819611

Risk-return profiles of Islamic equities and commodity portfolios in different market conditions

Kabir, Sarkar Humayun; Masih, Abdul Mansur M.; … - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1477-1500

Persistent link: https://www.econbiz.de/10011823800

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

Persistent link: https://www.econbiz.de/10011995731

Dynamic responses of major equity markets to the US fear index

Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, 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/10012173007

Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

Hallin, Marc; Trucios, Carlos - 2020

Persistent link: https://www.econbiz.de/10012437084

The global component of inflation volatility

Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721

Persistent link: https://www.econbiz.de/10013332682