Search academic resources

This study examined the dynamic relationship between central bank financial policies, capital market volatility, and macroeconomic performance in Nigeria from 1990 to 2023. Market capitalization is employed as a proxy fo...

In the presented paper GARCH class models were considered for describing and forecasting market volatility in context of the economic crisis. The sample composition was designed to emphasize models performance in two gro...

"This thesis examines whether unusually negative financial news is associated with increased short-term market volatility, measured by absolute VIX movements. The analysis is based on more than 1.3 million cleaned and de...

The aim of the paper is to identify unobservable factors that may significantly determine the level of gold and silver returns and to assess the risk of investment in these metals. To measure risk, the value at risk and ...

This study provides an empirical analysis of the volatility dynamics of the Deutscher Aktienindex (DAX) stock index over a 20-year period based on daily observations, specifically from January 2, 2006, to March 20, 202...

The goal of this paper is to analyze the effect of OTC-DVP (over the counter delivery versus payment) fixed income market introduction in Slovenia on the term structure estimation and on the volatility of zero coupon yie...

This study examines the realised volatility spillover effects between Malaysia's energy market and other sectoral indices on the Kuala Lumpur Stock Exchange from September 2018 to December 2024. To address the limitation...

This study investigates the determinants of exchange rate volatility in African nations over the period 2000 to 2023 using panel data techniques. Key macroeconomic variables including GDP growth, export performance, broa...

In the face of the numerous turbulence on the global financial markets the need for a more profound look at the phenomenon of volatility transfer between different markets increases because as a consequence of this pheno...

Purpose — Understanding extreme downside risk is particularly important in emerging equity markets, where higher market volatility, lower liquidity, and weaker information environments make stock prices more vulnerable...

As technology advances, there is a growing number of potential data sources that can provide an alternative to traditional surveys. An example of this is the real time search popularity data made available through Google...

This study examines the economic security of business entities by conducting a systematic bibliometric analysis of academic research indexed in the Scopus database. Due to digital transformation, growing technological de...

This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequal...

Risk analysis in the financial market requires the correct evaluation of volatility in terms of both prices and asset returns. Disturbances in quality of information, the economic and political situation and investment s...

The object of the study is identification of the bond yields volatility in selected European countries, during the crisis of Greece’s public finances from 2010 to 2013. For this purpose used GARCH (1.1) model. The spec...

This study examines time-varying volatility spillovers between global stock markets and major uncertainty indices using Diebold–Yilmaz (DY) and Baruník–Křehlík (BK) connectedness frameworks within a time-varying p...

Abstract Financial time series forecasting is traditionally based on historical price patterns, often overlooking exogenous and behavioral variables that can significantly affect market movements. In this study, we enhan...

This paper provides a comprehensive bibliometric analysis of the existing literature concerning the broader asset pricing literature, with a particular focus on the topics of market integration, financial contagion, ri...

The determination of trends and prediction of stock prices is one of the main tasks of the MACD (Moving Average Convergence Divergence) and the RVI (Relative Volatility Index) indicators of the technical analysis. The re...

The article analyzes the foreign exchange market functioning under the influence of exchange rate fluctuations. The main factors determining the exchange rate in the existing conditions have been determined. All course-f...

Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is ...

Background: In a volatility, uncertainty, complexity and ambiguity (VUCA) business environment, the survival of small, medium and microenterprises (SMMEs) depends on adopting adaptive, customer-focused marketing strateg...

Understanding how semantic information flow reorganizes market topology remains an open challenge in financial network analysis. Prior work typically emphasizes price correlations or sentiment polarity, but rarely quanti...

With the increasing volatility of the financial instruments, particularly oil which is a strategic energy resource, there is a need to acquire the financial markets wider than ever range of the analyses. The concept of G...