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demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …
Persistent link: https://www.econbiz.de/10012867250
The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...
Persistent link: https://www.econbiz.de/10011534717
This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...
Persistent link: https://www.econbiz.de/10011301161
measure of realized exchange rate volatility, we endogenously identify two volatility regimes: low and high. Simulating an … performance varies across different regimes. This suggests that UIP deviations are more pronounced in the low volatility state and …
Persistent link: https://www.econbiz.de/10012995662
(USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with … associated with higher volatility than Wednesdays …
Persistent link: https://www.econbiz.de/10012915136
evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility …
Persistent link: https://www.econbiz.de/10014217287
allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility …
Persistent link: https://www.econbiz.de/10014220091
The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …
Persistent link: https://www.econbiz.de/10012918671
The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …
Persistent link: https://www.econbiz.de/10012890259