Works matching DE "VOLATILITY (Securities)"
Results: 1204
Predictability Puzzles.
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- Journal of Financial & Quantitative Analysis, 2025, v. 60, n. 1, p. 482, doi. 10.1017/S0022109024000218
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Predicting stock return and volatility with machine learning and econometric models--a comparative case study of the Baltic stock market.
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- University of Tartu - Faculty of Economics & Business Administration Working Paper Series, 2021, n. 135, p. 3
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GOOD VOLATILITY, BAD VOLATILITY: SIGNED JUMPS AND THE PERSISTENCE OF VOLATILITY.
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- Review of Economics & Statistics, 2015, v. 97, n. 3, p. 683, doi. 10.1162/REST_a_00503
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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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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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Characteristic period analysis of the Chinese stock market using successive one-sided HP filter.
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- Electronic Research Archive, 2023, v. 31, n. 10, p. 1, doi. 10.3934/era.2023311
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Do different stock indices volatility respond differently to Central bank digital currency signals?
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- Electronic Research Archive, 2023, v. 31, n. 9, p. 1, doi. 10.3934/era.2023283
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Rusya-Ukrayna Savaşının Gıda Fiyatları ile Finansal Piyasalar Arasındaki Bağlantılılık Üzerine Etkisi.
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- Bingol University Journal of Economics & Administrative Science, 2023, v. 7, n. 2, p. 63, doi. 10.33399/biibfad.1327746
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The Relationship Between the Stock Market Volatility, Liquidity, Exchange Rate Return, and Stock Return During the COVID-19 Period: The case of the BIST 100 Index.
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- Bingol University Journal of Economics & Administrative Science, 2023, v. 7, n. 1, p. 121, doi. 10.33399/biibfad.1222386
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A simple closed-form approximation for constant elasticity of variance spread options.
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- International Journal of Financial Engineering, 2020, v. 7, n. 4, p. N.PAG, doi. 10.1142/S2424786320500474
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Understanding the Impact of COVID-19 on the Volatility Dynamism of Brics Stock Market.
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- Acta Universitatis Bohemiae Meridionales, 2022, v. 25, n. 2, p. 175, doi. 10.32725/acta.2022.017
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Examining Asymmetric Volatility Dynamism of Returns in the Infrastructure Sector in India during Covid 19: - A application of GARCH Models.
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- Acta Universitatis Bohemiae Meridionales, 2022, v. 25, n. 2, p. 126, doi. 10.32725/acta.2022.014
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A Bibliometric Mapping of Utilization of Google Trends for Examining Stock Market Dynamics.
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- Acta Universitatis Bohemiae Meridionales, 2021, v. 24, n. 3, p. 57, doi. 10.32725/acta.2021.012
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Fundamental Investors Reduce the Distraction on Management from Random Market “Noise”: Evidence from France.
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- Journal of Applied Corporate Finance, 2018, v. 30, n. 1, p. 62, doi. 10.1111/jacf.12278
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UK Brexit crisis: Modelling Stock Market Volatility Using an Intervention ARIMA Model.
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- Economic & Managerial Researshes, 2020, v. 14, n. 4, p. 57
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دراسة قياسية تحليلية لتقلبات عوائد أسهم بورصة الامارات العربية المتحدة باستخدام نماذج عائلة GARCH.
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- Economic & Managerial Researshes, 2020, v. 14, n. 3, p. 341
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Analysis of ASEAN's Stock Returns and/or Volatility Distribution under the Impact of the Chinese EPU: Evidence Based on Conditional Kernel Density Approach.
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- East Asian Economic Review (EAER), 2023, v. 27, n. 1, p. 33, doi. 10.11644/KIEP.EAER.2023.27.1.417
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INSTITUTIONAL QUALITY, MACROECONOMIC FACTORS AND STOCK MARKET VOLATILITY: A CROSS-COUNTRY ANALYSIS FOR PRE, DURING AND POST GLOBAL FINANCIAL CRISIS.
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- Journal of Developing Areas, 2021, v. 55, n. 1, p. 357, doi. 10.1353/jda.2021.0024
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DID COVID-19 CHALLENGE THE VOLATILITY OF THE SUSTAINABLE STOCK MARKET? AN EXAMINATION OF ASIAN MARKET.
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- Journal of Eastern European & Central Asian Research, 2023, v. 10, n. 7, p. 989, doi. 10.15549/jeecar.v10i7.1343
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RIDING OR CHALLENGING THE WAVES: UNCOVERING THE VOLATILITY OF SOUTHEAST ASIAN STOCK MARKETS AMIDST GLOBAL UNCERTAINTIES.
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- Journal of Eastern European & Central Asian Research, 2023, v. 10, n. 5, p. 841, doi. 10.15549/jeecar.v10i5.1317
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Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market.
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- Mathematics (2227-7390), 2022, v. 10, n. 11, p. 1903, doi. 10.3390/math10111903
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Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market.
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- Management Dynamics in the Knowledge Economy, 2022, v. 10, n. 4, p. 376, doi. 10.2478/mdke-2022-0024
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Sovereign Default Analysis through Extreme Events Identification.
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- Management Dynamics in the Knowledge Economy, 2015, v. 3, n. 2, p. 339
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VOLATILITIES AND RETURN CO-MOVEMENTS AMONG STOCK MARKETS IN MAINLAND CHINA, HONG KONG, AND THE UNITED STATES.
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- Singapore Economic Review, 2024, v. 69, n. 7, p. 2097, doi. 10.1142/S0217590821500090
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GUEST EDITOR'S INTRODUCTION TO SPECIAL ISSUE ON CHINA'S ECONOMY: CHALLENGES AND DEVELOPMENT IN THE FUTURE.
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- Singapore Economic Review, 2024, v. 69, n. 6, p. 1845, doi. 10.1142/S0217590824020041
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VOLATILITY CONTAGION AMONG STOCK, CURRENCY, AND BULK SHIPPING MARKET DURING THE CHINA'S STOCK MARKET CRASH CRISIS.
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- Singapore Economic Review, 2024, v. 69, n. 6, p. 1995, doi. 10.1142/S021759082140004X
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NOISY HIGH FREQUENCY DATA-BASED ESTIMATION OF VOLATILITY FUNCTION WITH APPLICATIONS.
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- Singapore Economic Review, 2023, v. 68, n. 6, p. 2127, doi. 10.1142/S0217590820500721
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HOUSING MARKET VOLATILITY, SHADOW BANKS AND MACROPRUDENTIAL REGULATION: A DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL ANALYSIS.
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- Singapore Economic Review, 2022, v. 67, n. 6, p. 1925, doi. 10.1142/S0217590822500527
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SPILLOVER EFFECT OF THE FEDERAL RESERVE'S FORWARD GUIDANCE ON CHINA'S FINANCIAL MARKETS: FROM MECHANISM ANALYSIS TO EMPIRICAL TEST.
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- Singapore Economic Review, 2022, v. 67, n. 2, p. 603, doi. 10.1142/S0217590821500612
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STOCK MARKET PREDICTION IN BRICS COUNTRIES USING LINEAR REGRESSION AND ARTIFICIAL NEURAL NETWORK HYBRID MODELS.
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- Singapore Economic Review, 2022, v. 67, n. 2, p. 635, doi. 10.1142/S0217590821500521
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LOW-FREQUENCY VOLATILITY AND MACROECONOMIC DYNAMICS: CONVENTIONAL VERSUS ISLAMIC STOCK MARKETS.
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- Singapore Economic Review, 2022, v. 67, n. 1, p. 411, doi. 10.1142/S0217590819420049
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DAY OF THE WEEK EFFECT IN THE SOUTH AFRICAN EQUITY MARKET: A GARCH ANALYSIS.
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- Ekonomika, 2022, v. 68, n. 1, p. 15, doi. 10.5937/ekonomika2201015M
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ANALYTIC SOLUTIONS AND COMPLETE MARKETS FOR THE HESTON MODEL WITH STOCHASTIC VOLATILITY.
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- Electronic Journal of Differential Equations, 2018, v. 2018, n. 158-200, p. 1
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Instability of returns and liquidity during the Covid-19 pandemic: evidence from the brazilian stock market.
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- Brazilian Journal of Management / Revista de Administração da UFSM, 2024, v. 17, n. 2, p. 1, doi. 10.5902/1983465984713
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CONNECTIVITY BETWEEN THE LATIN AMERICAN AND U.S. STOCK MARKETS IN THE PRESENCE OF THE COVID-19 PANDEMIC.
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- Brazilian Journal of Management / Revista de Administração da UFSM, 2022, v. 15, n. 3, p. 453, doi. 10.5902/1983465969467
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MARKET MICROSTRUCTURE – A HIGH FREQUENCY ANALYSIS OF VOLUME AND VOLATILITY INTRADAY PATTERNS ACROSS THE BRAZILIAN STOCK MARKET.
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- Brazilian Journal of Management / Revista de Administração da UFSM, 2015, v. 8, n. 3, p. 455, doi. 10.5902/1983465910505
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Volatility and tail dependence between sustainable stock indices during the COVID-19 pandemic.
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- Economics & Law / Ekonomia i Prawo, 2022, v. 21, n. 4, p. 693, doi. 10.12775/EiP.2022.037
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Does Historical VIX Term Structure Contain Valuable Information for Predicting VIX Futures?
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- Dynamic Econometric Models, 2014, v. 14, p. 5, doi. 10.12775/DEM.2014.001
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TÜRKİYE'DE BORSA, EMTİA, TAHVİL VE DÖVİZ PİYASALARI ARASINDAKİ ETKİLEŞİM: YAYILIM ENDEKSİ YAKLAŞIMI.
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- Journal of Management & Economics Research, 2020, v. 18, n. 4, p. 265, doi. 10.11611/yead.737638
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HİSSE SENEDİ PİYASALARI ARASINDA OYNAKLIK YAYILIMI ETKİSİ ÜZERİNE BİR İNCELEME: ÇİN, RUSYA VE TÜRKİYE ÖRNEĞİ.
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- Journal of Management & Economics Research, 2020, v. 18, n. 4, p. 249, doi. 10.11611/yead.729896
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Modeling and Forecasting the Volatility of Oil Futures Using the ARCH Family Models.
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- Lahore Journal of Business, 2012, v. 1, n. 1, p. 79, doi. 10.35536/ljb.2012.v1.i1.a5
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The Forecasting Ability of GARCH Models for the 2003-07 Crisis: Evidence from S&P500 Index Volatility.
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- Lahore Journal of Business, 2012, v. 1, n. 1, p. 37, doi. 10.35536/ljb.2012.v1.i1.a3
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A Bayesian time varying approach to risk neutral density estimation.
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- Journal of the Royal Statistical Society: Series A (Statistics in Society), 2019, v. 182, n. 1, p. 165, doi. 10.1111/rssa.12386
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Analysing Existence of Volatility Persistence in Sub-Sahara Africa Stock Markets.
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- Amity Business Review, 2019, v. 20, n. 1, p. 30
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The effect of the introduction of market makers on stock liquidity: evidence from the Brazilian stock market.
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- Revista Ambiente Contábil, 2021, v. 13, n. 2, p. 165, doi. 10.21680/2176-9036.2021v13n2ID25722
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O efeito da introdução de market makers na liquidez das ações: evidências no mercado acionário brasileiro.
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- Revista Ambiente Contábil, 2021, v. 13, n. 2, p. 165, doi. 10.21680/2176-9036.2021v13n2ID21269
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Investigation the Role of Exchange Rate Volatility on Iran's Agricultural Exports (Case Study: Date, Pistachio and Saffron).
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- Agris On-Line Papers in Economics & Informatics, 2012, v. 4, n. 1, p. 31
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Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models.
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- Journal of Business & Economic Statistics, 2023, v. 41, n. 4, p. 1300, doi. 10.1080/07350015.2022.2120485
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Volatility-Related Exchange Traded Assets: An Econometric Investigation.
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- Journal of Business & Economic Statistics, 2018, v. 36, n. 4, p. 599, doi. 10.1080/07350015.2016.1216852
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New HEAVY Models for Fat-Tailed Realized Covariances and Returns.
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- Journal of Business & Economic Statistics, 2018, v. 36, n. 4, p. 643, doi. 10.1080/07350015.2016.1245622
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