Works matching DE "VOLATILITY (Securities)"
Results: 1198
Long-Run Volatility Memory Dynamics and Inter-Market Linkages in GCC Equity Markets: Application of DCC-FIGARCH Models.
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- Review of Middle East Economics & Finance, 2024, v. 20, n. 3, p. 299, doi. 10.1515/rmeef-2024-0018
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- Article
Understanding Markets with Socially Responsible Consumers.
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- Quarterly Journal of Economics, 2024, v. 139, n. 3, p. 1989, doi. 10.1093/qje/qjae009
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- Article
Volatility spillovers among major tourism stock indices during Covid-19 pandemic.
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- Current Issues in Tourism, 2023, v. 26, n. 13, p. 2227, doi. 10.1080/13683500.2022.2153015
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- Article
Stock Return Dynamics after Analyst Recommendation Revisions.
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- Journal of Risk & Control, 2020, v. 7, n. 1, p. 1
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- Article
Housing market, oil prices, and macroeconomic volatility in the G7.
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- Manchester School (1463-6786), 2024, v. 92, n. 4, p. 397, doi. 10.1111/manc.12474
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Investor sentiment contagion and network connectedness: Evidence from China and other international stock markets.
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- Manchester School (1463-6786), 2023, v. 91, n. 6, p. 587, doi. 10.1111/manc.12457
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- Article
Cryptocurrency shocks.
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- Manchester School (1463-6786), 2021, v. 89, n. 2, p. 190, doi. 10.1111/manc.12354
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- Article
EKONOMİ POLİTİKA BELİRSİZLİĞİ VE GETİRİ-VOLATİLİTE İLİŞKİSİ: GELİŞMİŞ ÜLKE BORSALARINDAN KANITLAR.
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- Bulletin of Accounting & Finance Reviews / Muhasebe ve Finans İncelemeleri Dergisi, 2023, v. 6, n. 1, p. 15, doi. 10.32951/mufider.1205714
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- Article
Indian Stock Market Volatility using GARCH Models: A Case Study of NSE.
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- AIMS International Journal of Management, 2021, v. 15, n. 1, p. 47, doi. 10.26573/2021.15.1.4
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- Article
Impact of Tax Increment Financing on School District Revenues and the Spillover Effect.
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- Journal of Economic Issues, 2022, v. 56, n. 3, p. 782, doi. 10.1080/00213624.2022.2079937
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- Article
Signs of Fluctuations in Energy Prices and Energy Stock-Market Volatility in Brazil and in the US.
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- Econometrics (2225-1146), 2024, v. 12, n. 3, p. 24, doi. 10.3390/econometrics12030024
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- Article
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter.
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- Econometrics (2225-1146), 2023, v. 11, n. 3, p. 18, doi. 10.3390/econometrics11030018
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- Article
Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers.
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- Econometrics (2225-1146), 2023, v. 11, n. 1, p. 2, doi. 10.3390/econometrics11010002
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- Article
Structural Compressed Panel VAR with Stochastic Volatility: A Robust Bayesian Model Averaging Procedure.
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- Econometrics (2225-1146), 2022, v. 10, n. 3, p. 28, doi. 10.3390/econometrics10030028
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- Article
Structural Panel Bayesian VAR with Multivariate Time-Varying Volatility to Jointly Deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues.
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- Econometrics (2225-1146), 2021, v. 9, n. 2, p. 20, doi. 10.3390/econometrics9020020
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- Article
ANÁLISE DINÂMICA DE VOLATILIDADE PARA OS SETORES DO MERCADO ACIONÁRIO BRASILEIRO: UMA APLICAÇÃO DO MODELO MRS-GARCH.
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- RACE- Revista de Administração, Contabilidade e Economia, 2022, v. 21, n. 1, p. 101, doi. 10.18593/race.20975
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- Article
The Impact of External Factors on Stock Return Volatility in the European Banking Sector.
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- Management Issues / Problemy Zarządzania, 2021, v. 19, n. 4, p. 185, doi. 10.7172/1644-9584.94.10
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- Article
Tail risk aversion and backwardation of index futures.
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- Quantitative Finance, 2024, v. 24, n. 3/4, p. 387, doi. 10.1080/14697688.2024.2330612
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- Article
Functional quantization of rough volatility and applications to volatility derivatives.
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- Quantitative Finance, 2023, v. 23, n. 12, p. 1769, doi. 10.1080/14697688.2023.2273414
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A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures.
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- Quantitative Finance, 2023, v. 23, n. 2, p. 309, doi. 10.1080/14697688.2022.2157322
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- Article
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry.
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- Quantitative Finance, 2023, v. 23, n. 1, p. 35, doi. 10.1080/14697688.2022.2140700
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- Article
Modeling price clustering in high-frequency prices.
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- Quantitative Finance, 2022, v. 22, n. 9, p. 1649, doi. 10.1080/14697688.2022.2050285
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- Article
Stock market prediction based on adaptive training algorithm in machine learning.
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- Quantitative Finance, 2022, v. 22, n. 6, p. 1133, doi. 10.1080/14697688.2022.2041208
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- Article
Short-dated smile under rough volatility: asymptotics and numerics.
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- Quantitative Finance, 2022, v. 22, n. 3, p. 463, doi. 10.1080/14697688.2021.1999486
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- Article
Forecasting market index volatility using Ross-recovered distributions.
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- Quantitative Finance, 2022, v. 22, n. 2, p. 255, doi. 10.1080/14697688.2021.1939407
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Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective.
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- Quantitative Finance, 2021, v. 21, n. 11, p. 1905, doi. 10.1080/14697688.2021.1914855
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- Article
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables.
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- Quantitative Finance, 2021, v. 21, n. 8, p. 1387, doi. 10.1080/14697688.2021.1901970
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- Article
A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'.
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- Quantitative Finance, 2021, v. 21, n. 7, p. 1083, doi. 10.1080/14697688.2021.1876908
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- Article
Multilayer information spillover networks: measuring interconnectedness of financial institutions.
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- Quantitative Finance, 2021, v. 21, n. 7, p. 1163, doi. 10.1080/14697688.2020.1831047
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- Article
Uncertainty shocks of Trump election in an interval model of stock market.
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- Quantitative Finance, 2021, v. 21, n. 5, p. 865, doi. 10.1080/14697688.2020.1800070
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- Article
Analytical solutions of optimal portfolio rebalancing.
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- Quantitative Finance, 2019, v. 19, n. 4, p. 683, doi. 10.1080/14697688.2018.1520394
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- Article
Asset volatility with prospect theory investors.
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- Quantitative Finance, 2019, v. 19, n. 4, p. 533, doi. 10.1080/14697688.2018.1520393
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- Article
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility.
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- Quantitative Finance, 2019, v. 19, n. 1, p. 155, doi. 10.1080/14697688.2018.1468081
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- Article
Calendar.
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- 2018
- Publication type:
- Calendar
Return and volatility co-movement in commodity futures markets: the effects of liquidity risk.
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- Quantitative Finance, 2018, v. 18, n. 9, p. 1471, doi. 10.1080/14697688.2018.1444562
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- Article
Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach.
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- Quantitative Finance, 2018, v. 18, n. 9, p. 1559, doi. 10.1080/14697688.2018.1444551
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- Article
Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition.
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- Quantitative Finance, 2018, v. 18, n. 9, p. 1501, doi. 10.1080/14697688.2018.1444534
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- Article
The role of derivatives in hedge fund activism.
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- Quantitative Finance, 2018, v. 18, n. 9, p. 1531, doi. 10.1080/14697688.2018.1444490
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- Article
Option prices and stock market momentum: evidence from China.
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- Quantitative Finance, 2018, v. 18, n. 9, p. 1517, doi. 10.1080/14697688.2018.1444461
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- Article
Orthogonal expansions for VIX options under affine jump diffusions.
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- Quantitative Finance, 2018, v. 18, n. 6, p. 951, doi. 10.1080/14697688.2017.1371322
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- Article
Cross-border exchanges and volatility forecasting.
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- Quantitative Finance, 2018, v. 18, n. 5, p. 789, doi. 10.1080/14697688.2017.1414512
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- Article
Forecasting and trading high frequency volatility on large indices.
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- Quantitative Finance, 2018, v. 18, n. 5, p. 737, doi. 10.1080/14697688.2017.1414489
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- Article
Herding behaviour and volatility clustering in financial markets.
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- Quantitative Finance, 2017, v. 17, n. 8, p. 1187, doi. 10.1080/14697688.2016.1267391
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- Article
Prediction of stock price movement based on daily high prices.
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- Quantitative Finance, 2016, v. 16, n. 5, p. 793, doi. 10.1080/14697688.2015.1070960
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- Article
Implied integrated variance and hedging.
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- Quantitative Finance, 2015, v. 15, n. 9, p. 1515, doi. 10.1080/14697688.2014.1002418
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- Article
Numerical methods applied to option pricing models with transaction costs and stochastic volatility.
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- Quantitative Finance, 2015, v. 15, n. 8, p. 1417, doi. 10.1080/14697688.2015.1032548
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- Article
Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data.
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- Quantitative Finance, 2015, v. 15, n. 8, p. 1365, doi. 10.1080/14697688.2015.1032547
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- Article
Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model.
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- Quantitative Finance, 2015, v. 15, n. 7, p. 1243, doi. 10.1080/14697688.2014.943274
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- Article
Ensemble properties of high-frequency data and intraday trading rules.
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- Quantitative Finance, 2015, v. 15, n. 2, p. 231, doi. 10.1080/14697688.2013.867454
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- Article
Optimal high-frequency trading with limit and market orders.
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- Quantitative Finance, 2013, v. 13, n. 1, p. 79, doi. 10.1080/14697688.2012.708779
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- Article