Search academic resources

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 paper develops a systematic method for calculating approximate prices for a wide range of securities implying the tools of spectral analysis, singular and regular perturbation theory. Price options depend on stochas...

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...

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...

Exchange rate volatility has remained a major challenge for Nigeria’s economic stability and industrial growth over the past decade. The manufacturing sector, which should serve as a driver of structural transformation...

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 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...

Purpose — This paper examines the relationship between South Africa’s rising public debt and real exchange rate (RER) volatility. Over the past two decades, the country has experienced an alarming increase in externa...

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...

The aim of this paper is to analyze the effects of exchange rate volatility on international trade flows by using two different approaches, the panel data analysis and fuzzy logic, and to compare the results. To a panel ...

The paper tries to find out where Romania stands in the European general picture of partisan affiliation, how many members have the parties in our country, and also what are the constants of the party system, the politic...

Barndorff‑Nielsen and Shephard (2001) proposed a class of stochastic volatility models in which the volatility process is the Ornstein‑Uhlenbeck process driven by a Levy process without gaussian component. Parameter ...

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...

Communication delays within connected and autonomous vehicles (CAVs) pose significant risks. It is imperative to address these issues to ensure the safe and effective operation of CAVs. However, the exploration of commun...

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...

I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I in...

ABSTRACT We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH‐M model modified by allowing (1) seasonal patterns in volatility, (...

Subjects / keywords: Volatility (finance); Economics; Volatility smile; Implied volatility; Volatility swap; Econometrics; Forward volatility; Autoregressive model; Realized variance; Stock (firearms); Stock market volatility; Volatility ris...

Presentamos un esquema no tradicional para el análisis de los efectos de una asociación monetaria asimétrica (como la dolarización). Discutimos la relación entre volatilidad real y riesgo país y determinamos las co...

El objetivo de este artículo es examinar la relación existente entre la volatilidad de la tasa de cambio y el volumen de exportaciones, usando datos brasileños. Después de establecer la existencia de cointegración e...

Analyzing the intraday dataset on weather and market information with the use of the extended GJR-GARCH framework, this study explores in depth the weather effects on the asset returns and volatilities of the Korean st...

Pricing management is part of farm management with the purpose of increasing profitability and competitiveness. It is based on the production cost and purchase price which difference affects to the financial result. Th...

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...