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Volatility Analysis Using High-Frequency Financial Data
Stock market, whose total size exceeds 10 billion dollars, have boomed in the past few decades, becoming a crucial indicator of global economy. It is...
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Forecasting volatility by using wavelet transform, ARIMA and GARCH models
Forecasting volatility of certain stocks plays an important role for investors as it allows to quantify associated trading risk and thus make right...
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Openness and Real Exchange Rate Volatility: Evidence from China
In recent years, China has introduced a series of trade and financial liberalization policies and taken a crucial step towards the...
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The extreme spillover from climate policy uncertainty to the Chinese sector stock market: wavelet time-varying approach
This study investigates the extreme return connectedness between five major Chinese stock prices and climate uncertainty between March 2010 and June...
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Multiple time-scales analyses of nickel futures and spot markets volatility spillovers effects
To investigate the variations in price volatility spillover effects on different time scales across the LME, SMM, and Chinese spot nickel markets....
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Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe
This paper examines the effects of the COVID-19 pandemic on CDS, stock returns, and economic activity in the US and the five European countries that...
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Time-varying causality between oil price and exchange rate in five ASEAN economies
The aim of this study is to investigate the effect of oil price changes on the exchange rates of the five ASEAN economies. In the study, a rolling...
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volatilityforecastingpackage: A Financial Volatility Package in Mathematica
The relevance of financial volatility forecasting in efficient decision making regarding risk-related assets cannot be subdued. In the financial...
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Forecasting the volatility of European Union allowance futures with macroeconomic variables using the GJR-GARCH-MIDAS model
Building on the GJR-GARCH model, this paper uses the mixed-data sampling (MIDAS) approach to link monthly realized volatility of EU carbon future...
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Interest Rate Volatility and Economic Growth in Nigeria: New Insight from the Quantile Autoregressive Distributed Lag (QARDL) Model
This is a study on interest rate volatility, a crucial form of volatility which affects local and foreign investments in the real and financial...
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Unveiling the influence of economic complexity and economic shocks on output growth volatility: evidence from a global sample
While several studies have explored the impact of economic shocks on output volatility, little attention has been given to the role of a country’...
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Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets
This paper investigates (i) the return-volatility spillover between Bitcoin, Ethereum, Ripple, and Litecoin, (ii) the interdependence between...
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Macroeconomic shocks, investment volatility and centrality in global manufacturing network
In this paper, based on the investment behavior of publicly listed manufacturing companies in major economies, we analyze the impacts of...
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The effectiveness of ultra-loose monetary policy in a high inflation economy: a time-varying causality analysis for Turkey
The highest rate of inflation was observed as countries faced increasing prices for food and energy, primarily due to supply disruptions caused by...
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Sectoral volatility spillovers and their determinants in Vietnam
Using the vector autoregression (VAR) connectedness approach, this paper investigates dynamic volatility spillovers across 14 sectors in Vietnam’s...
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Volatility spillovers between oil and financial markets during economic and financial crises: A dynamic approach
Volatility in international oil markets is a recurrent phenomenon which causes spillovers on financial markets. However, a bidirectional comparison...
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Stock Returns Prediction Based on Implied Volatility Spread Under Network Perspective
Using 50 ETF options data from the Shanghai Stock Exchange as samples, this paper explores the predictive power of option implied volatility spread...
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Housing price uncertainty and housing prices in the UK in a time-varying environment
This study offers a new perspective on the dynamic causal relationship between housing price uncertainty and housing prices in a time-varying...
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Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis
Research on the exchange rate volatility and dynamic conditional correlation of African currencies/financial markets interdependence appears to be...
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Investor Structure and Corn Futures Price Volatility in China: Evidence Based on the Agent-Based Model
This study investigates how the investor structures affect the corn futures price volatility using corn futures and spot price daily data ranging...
