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Currency concentration in sovereign debt, exchange rate cyclicality, and volatility in consumption
For emerging economies, borrowing abroad is a double-edged sword: it can buffer against adverse economic shocks and smooth their domestic...
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Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading...
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Macroprudential Policies and Volatility of Investments
The main aim of macroprudential policies (MPs) is to stabilize financial systems, but indirectly they also create more steady conditions in the...
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Research on jumps and volatility in China’s carbon market
This paper analyzes the jum** behavior and factors influencing volatility in China’s five carbon pilot markets. We confirm the presence of a...
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Macroeconomic attention and commodity market volatility
In this paper, we empirically examine the relationship between the novel macroeconomic attention indices (MAI) and commodity market volatility....
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The macroeconomic effect of petroleum product price regulation in alleviating the crude oil price volatility
China adopted a market-based pricing mechanism for petroleum products to improve the economic efficiency of resource allocation, thereby exposing its...
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Energy aid volatility across develo** countries: a disaggregated sectoral analysis
Empirical evidence on general aid volatility reveals that it is a limiting factor that impedes aid effectiveness. Unlike the previous studies...
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Volatility spillovers among leading cryptocurrencies and US energy and technology companies
This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum, Tether, and BNB coin), four...
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Output Growth Volatility, Remittances, and Financial Development in the Common Market for Eastern and Southern Africa Region: A System Generalized Method of Moments Approach
The paper aims to empirically examine the effect of remittances on output growth volatility conditional on the level of financial development. Our...
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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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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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A hybrid econometrics and machine learning based modeling of realized volatility of natural gas
Determining which variables affect price realized volatility has always been challenging. This paper proposes to explain how financial assets...
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Volatility and dependence in energy markets
We use a semiparametric GARCH-in-Mean copula model to examine the price evolution and volatility dynamics of crude oil, natural gas, and hydrocarbon...
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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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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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Stock Market Volatility During and After the Covid-19 Pandemic: Academic Perspectives
The Covid-19 aroused severe fluctuations in global stock markets widely and rapidly, while there lacks sufficient studies concerning shock caused by...
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The volatility connectedness between fertilizers and rice price: evidences from the global major rice-producing countries
This study examined the volatility connectedness between rice price and selected fertilizer commodity products among global rice-producing countries...
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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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The volatility mechanism and intelligent fusion forecast of new energy stock prices
The new energy industry is strongly supported by the state, and accurate forecasting of stock price can lead to better understanding of its...
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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...
