The volatility of a firm's assets and the leverage effect
J Choi, M Richardson - Journal of Financial Economics, 2016 - Elsevier
We investigate the volatility of firms' assets in contrast to existing studies that focus on equity
volatility. We estimate asset volatility using a comprehensive data set on the market values …
volatility. We estimate asset volatility using a comprehensive data set on the market values …
Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model
The shocks on certain market spread to other markets due to the financial linkages of global
economy, which is known as volatility spillover effect. In this study, we propose a volatility …
economy, which is known as volatility spillover effect. In this study, we propose a volatility …
Technical analysis based on high and low stock prices forecasts: Evidence for Brazil using a fractionally cointegrated VAR model
L Maciel - Empirical Economics, 2020 - Springer
This paper addresses the modeling and forecasting of daily high and low asset prices in the
Brazilian stock market using a fractionally cointegrated vector autoregressive model …
Brazilian stock market using a fractionally cointegrated vector autoregressive model …
An empirical model of fractionally cointegrated daily high and low stock market prices
J Baruník, S Dvořáková - Economic Modelling, 2015 - Elsevier
This work provides empirical support for the fractional cointegration relationship between
daily high and low stock prices, allowing for the non-stationary volatility of stock market …
daily high and low stock prices, allowing for the non-stationary volatility of stock market …
Contagion and Interdependencies: A Dynamic Connectedness approach among Implied Volatilities
This study employs the TVP-VAR approach to capture the degree of interdependencies and
contagion among sixteen implied volatilities. The 16 daily implied volatility indices comprise …
contagion among sixteen implied volatilities. The 16 daily implied volatility indices comprise …
Fractional integration in daily stock market indices at Jordan's Amman stock exchange
M Al-Shboul, S Anwar - The North American Journal of Economics and …, 2016 - Elsevier
Using daily data on five sectoral indices from 2006 to 2014, this paper aims to investigate
the possibility of fractional integration in sectoral returns (and their volatility measures) at …
the possibility of fractional integration in sectoral returns (and their volatility measures) at …
Forecasting implied volatility in foreign exchange markets: A functional time series approach
We utilise novel functional time series (FTS) techniques to characterise and forecast implied
volatility in foreign exchange markets. In particular, we examine the daily implied volatility …
volatility in foreign exchange markets. In particular, we examine the daily implied volatility …
An open innovation intraday implied volatility for pricing Australian dollar options
This study introduces the intraday implied volatility (IV) for pricing the Australian dollar (AUD)
options. The IV is estimated using the at-the-money one-month, two-month, and three-month …
options. The IV is estimated using the at-the-money one-month, two-month, and three-month …
Spurious long memory, uncommon breaks and the implied–realized volatility puzzle
One of the puzzles in international finance is the frequent finding that implied volatility is a
biased predictor of realized volatility. However, given asset price volatility is often …
biased predictor of realized volatility. However, given asset price volatility is often …
Modeling fractional cointegration between high and low stock prices in Asian countries
A Afzal, P Sibbertsen - Empirical Economics, 2021 - Springer
The present study analyzes the interrelationship among daily high and low stock market
indices in some developing stock markets with the perspective of fractional integration and …
indices in some developing stock markets with the perspective of fractional integration and …