Search Results

Volatility Spillover Among Equity and Commodity Markets,
Tariq Aziz, Ranjeeta Sadhwani, Ume Habibah and Mazin A. M. Al Janabi, in SAGE Open (2020)
Keywords: volatility spillover; commodity markets; equity market; GARCH

Volatility Spillover Effects in European Equity Markets,
Lieven Baele, from Tilburg University, Center for Economic Research (2003)
Keywords: ems; volatility; equity markets; monetary integration; spillover

Is equity market volatility driven by migration fear?,
Robert Czudaj, in Finance Research Letters (2018)
Keywords: Equity markets; Fear; Migration; Terror attacks; Volatility;

Shift-Volatility Transmission in East Asian Equity Markets,
Marcel Aloy, Gilles de Truchis, Gilles Dufrénot and Benjamin Keddad, from Aix-Marseille School of Economics, France (2014)
Keywords: Regime shifts, Equity Volatility, East Asia, TVPMS

An exploration on volatility across India and some developed and emerging equity markets,
Paramita Mukherjee, in Asia-Pacific Development Journal (2011)
Keywords: Volatility transmission, Indian equity market, market integration, volatility linkage

EQUITY RISK: MEASURING RETURN VOLATILITY USING HISTORICAL HIGH-FREQUENCY DATA,
Alan Chow and Kyre Lahtinen, in Studies in Business and Economics (2019)
Keywords: Risk, Volatility, Equity, Return, High-Frequency

Dependence Structure of International Equity Markets During Extremely Volatile Periods,
Bruno Solnik and François Longin, from HAL (1998)
Keywords: Dependence Structure,International,Equity Markets,Volatile Periods

Ownership, volatility, and equity incentives: Theory and evidence from listed companies in China,
Zonglai Kou, Yue Tang, Hong Wu and Min Zhou, in Economic Modelling (2023)
Keywords: Equity incentives; Ownership; Volatility; Managerial rent-extraction;

Relationship of the change in implied volatility with the underlying equity index return in Thailand,
Supachock Thakolsri, Yuthana Sethapramote and Komain Jiranyakul, from University Library of Munich, Germany (2015)
Keywords: Equity index return, implied volatility, asymmetric effect

How Have Contracts for Difference Affected Irish Equity Market Volatility?,
Shaen Corbet and Cian Twomey, in The Economic and Social Review (2014)
Keywords: equity markets; Contracts for Difference; volatility; Ireland

The disappearing profitability of volatility-managed equity factors,
Timotheos Angelidis and Nikolaos Tessaromatis, in Journal of Financial Markets (2023)
Keywords: Volatility-managed; Equity factors; Small-capitalization; Limits to arbitrage;

Large global volatility shocks, equity markets and globalisation: 1885-2011,
Arnaud Mehl, from European Central Bank (2013)
Keywords: equity markets, globalisation, international linkages, large global volatility shocks

Mongolian and World Equity Markets: Volatilities and Correlations,
Yertai Tanai and Kuan-Pin Lin, in Eurasian Economic Review (2013)
Keywords: SCO, Equity Market, Volatility, Correlation, G10, G15, F15,

Hedge fund attributes and volatility around equity offerings,
Robert Hull, Sungkyu Kwak and Rosemary Walker, in Journal of Economics and Finance (2014)
Keywords: Hedge Funds, Idiosyncratic, Volatility, Seasoned Equity Offerings, G10, G20, G32,

Forecasting global equity market volatilities,
Yaojie Zhang, Feng Ma and Yin Liao, in International Journal of Forecasting (2020)
Keywords: Global equity market; Realized volatility; Common indices; Augmented HAR model; Forecasting;

Option implied volatilities and the cost of issuing equity,
Andy Fodor and Sinan Gokkaya, in Journal of Banking & Finance (2014)
Keywords: Seasoned Equity Offering; Implied volatility; Cost of equity; Price risk; Investment bank fees;

Volatility in equity markets and monetary policy rate uncertainty,
Iryna Kaminska and Matt Roberts-Sklar, in Journal of Empirical Finance (2018)
Keywords: Equity indices; Monetary policy rate uncertainty; Option implied volatility; Realized volatility; Risk-free interest rates; Volatility forecasting;

Volatility in equity markets and monetary policy rate uncertainty,
Iryna Kaminska and Matt Roberts-Sklar, from Bank of England (2017)
Keywords: Equity indices; monetary policy rate uncertainty; option implied volatility; realized volatility; risk-free interest rates; volatility forecasting

Macroeconomic volatility and the equity premium,
Keith Sill, from Federal Reserve Bank of Philadelphia (2006)
Keywords: Equity; Macroeconomics

The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes,
Aktham Maghyereh, Basel Awartani and Elie Bouri, in Energy Economics (2016)
Keywords: Oil price volatility; Equity market volatility; Directional connectedness; Implied volatility indexes;

Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data,
Gilles Dufrénot and Benjamin Keddad, from HAL (2014)
Keywords: Coupling, Indian equity markets, Stochastic volatility

Forecasting Equity Index Volatility: Empirical Evidence from Japan, UK and USA Data,
Divine N Obodoechi, Anthony Orji and Onyinye Anthony-Orji, in Financial Risk and Management Reviews (2018)
Keywords: Equity market, Volatility, ARCH, GARCH, EGARCH

Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data,
Gilles Dufrénot and Benjamin Keddad, in International Review of Financial Analysis (2014)
Keywords: Indian equity markets; Coupling; Stochastic volatility;

Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis,
Saint Kuttu, in Global Finance Journal (2014)
Keywords: Returns; Volatility; Interdependence; Thin trading; Equity;

Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test,
Saban Nazlioglu, Shawkat Hammoudeh and Rangan Gupta, from University of Pretoria, Department of Economics (2013)
Keywords: Islamic and conventional equity markets, volatility spillover

Can Small Fluctuations in Investors' Subjective Preferences Induce Large Volatility in Equity Prices?,
Rajnish Mehra and Raaj Sah, from Harris School of Public Policy Studies, University of Chicago (1999)
Keywords: equity prices, volatility, discount factor, risk

Financial crises and volatility spillovers among emerging European equity markets,
Ugur Ergun and Zehra Mahmutović, in Journal of Economic and Financial Studies (JEFS) (2014)
Keywords: Balkan transition economies; GARCH (1.1); Equity markets; Volatility spillover.

Correlation Structure of International Equity Markets During Extremely Volatile Periods,
Bruno Solnik and François Longin, from HAL (1998)
Keywords: international equity markets,volatility,correlation and extreme value theory

Emerging Equity market Volatility: An empirical Investigation of Emergent market: Kenya Nigeria,
G. Ogum, F. Beer and G. Nouyrigat, from HAL (2005)
Keywords: Investigation,Emergent,market,Kenya,Nigeria,Emerging,Equity market Volatility,empirical

Volatility clustering, leverage effects, and jumps dynamics in emerging Asian equity markets,
Elton Daal, Atsuyuki Naka and Jung-Suk Yu, from University of New Orleans, Department of Economics and Finance (2004)
Keywords: Jumps, Volatility, Leverage effects, Emerging markets, Asia, Equity markets

Relationship of the Change in Implied Volatility with the Underlying Equity Index Return in Thailand,
Supachok Thakolsri, Yuthana Sethapramote and Komain Jiranyakul, in Economic Research Guardian (2016)
Keywords: Equity index return, Option prices, Implied volatility, Asymmetric effect

Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks,
Zhe Li, in JRFM (2020)
Keywords: equity option pricing; factor models; stochastic volatility; jumps

The dynamics of market volatility, market return, and equity fund flow: International evidence,
Bong Soo Lee, Miyoun Paek, Yeonjeong Ha and Kwangsoo Ko, in International Review of Economics & Finance (2015)
Keywords: Market volatility; Market return; Equity fund flow; Structural VAR; Identification;

Asymmetric volatility structure of equity returns: Evidence from an emerging market,
Muhammad Umar, Nawazish Mirza, Syed Kumail Abbas Rizvi and Mehreen Furqan, in The Quarterly Review of Economics and Finance (2023)
Keywords: GARCH; Asymmetric volatility; News impact curves; Equity returns;

Volatility Spillovers and Correlation Between Cryptocurrencies and Asian Equity Market,
Nidhi Malhotra and Saumya Gupta, in International Journal of Economics and Financial Issues (2019)
Keywords: Cryptocurrencies, Asian Equity Market, Volatility Spillovers, Dynamic Conditional Correlation

Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions,
Nima Nonejad, in Empirical Economics (2021)
Keywords: Aggregate equity returns, Conditional volatility, Density prediction accuracy, Value-at-risk

An examination of return and volatility spillovers between mature equity markets,
Payal Jain and Sanjay Sehgal, in Journal of Economics and Finance (2019)
Keywords: Mature equity markets, Multivariate GARCH, Price discovery, Volatility spillover

Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS,
Jian Zhang, Dongxiang Zhang, Juan Wang and Yue Zhang, in Journal for Economic Forecasting (2013)
Keywords: volatility spillover, equity market, bond market, causality-in-varince, LM-GARCH

Measurement of Volatility Spillovers and Asymmetric Connectedness on Commodity and Equity Markets,
Tereza Palanská, from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2018)
Keywords: Volatility, Spillovers, Relized Semivariance, Asymmetric effects, Commodity markets, Equity markets

Correlation Structure of International Equity Markets During Extremely Volatile Periods,
Longin François and Solnik Bruno, from HEC Paris (1998)
Keywords: international equity market; volatility; correlation; extreme value theory

Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets,
Randi Næs and Johannes Skjeltorp, from Norges Bank (2003)
Keywords: Market Microstructure; Volume-volatility relation; Equity trading; Asymmetric Information

Business models of real estate equity companies and capital market volatility,
Karl-Friedrich Keunecke, from European Real Estate Society (ERES) (2023)
Keywords: Business Models; Capital market volatility; COVID-19; real estate equity companies

Dark Matter in (Volatility and) Equity Option Risk Premiums,
Gurdip Bakshi, John Crosby and Xiaohui Gao, in Operations Research (2022)
Keywords: Financial Engineering, unspanned equity volatility and jump risks, unspanned risks in the pricing kernel, dark matter, option risk premiums

Modeling the volatilities of globally listed private equity markets,
Lars Tegtmeier, in Studies in Economics and Finance (2022)
Keywords: Listed private equity, Volatility, GARCH models, Spillover effects, C58, G10, G15

Asymmetries and Volatility Regimes in the European Equity Markets,
Carol Alexandra and Emese Lazar, from Henley Business School, University of Reading (2005)
Keywords: equity skew, market cras, GARCH process, normal mixture, skey peristence, leverage effect, volatility regimes

Underdiversification puzzle, volatility puzzle and equity premium puzzle: a common solution,
Kavous Ardalan, in Studies in Economics and Finance (2022)
Keywords: Volatility puzzle, Underdiversification puzzle, Equity premium puzzle, Equity valuation, Dividend discount model, Option pricing model

Spillover dynamics effects between risk-neutral equity and Treasury volatilities,
Ana González-Urteaga, Belén Nieto and Gonzalo Rubio, in SERIEs: Journal of the Spanish Economic Association (2022)
Keywords: Risk-neutral equity volatility, Risk-neutral Treasury volatility, Total connectedness, Directional connectedness, Real and monetary economic drivers

The role of model bias in predicting volatility: evidence from the US equity markets,
Yan Li, Lian Luo, Chao Liang and Feng Ma, in China Finance Review International (2020)
Keywords: Realized volatility, Model bias, Volatility forecasting, Equity markets, C22, C52, C55

Association between Asian Equity Markets and Western Markets: Evidence from the Indexes of Equity Markets,
Jeffrey E Jarrett, Alina F Klein and Eric Kyper, in Asian Journal of Empirical Research (2013)
Keywords: Volatility, Correlation, Equity markets

Approximating equity volatility,
Ahmed Loulit, from ULB -- Universite Libre de Bruxelles (2004)
Keywords: Black-Scholes model; derivative pricing; volatility.

Oil Price Volatility And Sectoral Returns Uncertainties: Evidence From A Threshold Based Approach For The Australian Equity Market,
Huson Joher Ali Ahmed Author-Name: IKM Mokhtarul Wadud, in Journal of Developing Areas (2017)
Keywords: Equity return volatility, oil price volatility, threshold, transition model, sectoral volatility.

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?,
Martin Lettau and Sydney Ludvigson, from Society for Economic Dynamics (2004)
Keywords: Equity Premium, Macro Volatility

News-based equity market uncertainty and crude oil volatility,
Anupam Dutta, Elie Bouri and Tareq Saeed, in Energy (2021)
Keywords: US News-based equity market uncertainty (EMV); Crude oil volatility (OVX); VIX; Oil volatility; Risk spillover; Quantiles;

The risk appetite of private equity sponsors,
Reiner Braun, Nico Engel, Peter Hieber and Rudi Zagst, in Journal of Empirical Finance (2011)
Keywords: Risk appetite; Equity volatility; Private equity;

Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables,
Nima Nonejad, in Journal of Empirical Finance (2023)
Keywords: Conditional out-of-sample relative predictability; Economic predictors; Equity return; Equity return volatility; Forecast (prediction) selection strategy; Value-at-Risk;

FOREIGN EQUITY FLOWS AND MARKET RETURN VOLATILITY: EVIDENCE FROM AN EMERGING EQUITY MARKET,
Ros Zam Zam Sapian, from International Institute of Social and Economic Sciences (2016)
Keywords: Foreign equity flows, market return volatility, emerging equity market, institutional and retail investors, buy and sell trades, granger causality, variance decomposition

Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data,
Nima Nonejad, in International Review of Financial Analysis (2018)
Keywords: Density predictions; Endogeneity; Equity premium; Realized volatility; Stochastic volatility;

Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information,
Chao Liang, Yan Li, Feng Ma and Yu Wei, in International Review of Financial Analysis (2021)
Keywords: Global equity market; Leverage effects; Jumps; Overnight information; Volatility forecasting;

The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing,
Nawazish Mirza, Syed Kumail Abbas Rizvi, Irum Saba, Bushra Naqvi and Larisa Yarovaya, in International Review of Economics & Finance (2022)
Keywords: COVID-19; Islamic equity funds; Style analysis; Volatility timing; Resilience;

Pricing foreign equity option under stochastic volatility tempered stable Lévy processes,
Xiaoli Gong and Xintian Zhuang, in Physica A: Statistical Mechanics and its Applications (2017)
Keywords: Stochastic volatility; Tempered stable Lévy process; Foreign equity option;

Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities,
Sang Hoon Kang, Jose Arreola Hernandez, Mobeen Ur Rehman, Syed Jawad Hussain Shahzad and Seong-Min Yoon, in Resources Policy (2023)
Keywords: US equity Sectors; Spillover; Hedging; Commodities; Stock market; Implied volatility;

Where did the GARCH Models Perform Best in Terms of Volatility Forecasting? Equity vs. Commodities Markets,
Iulian Lolea, in Academic Journal of Economic Studies (2017)
Keywords: Volatility forecasting, commodities, equity markets, statistical loss functions, out-of-sample

REITs’ Stock Return Volatility: Property Market Risk Versus Equity Market Risk,
Lingxiao Li and Bing Zhu, in The Journal of Real Estate Finance and Economics (2024)
Keywords: REITs, Return volatility, Property market risk, Equity market risk

Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests,
Riza Demirer, Rangan Gupta, Zhihui Lv and Wing-Keung Wong, from University of Pretoria, Department of Economics (2018)
Keywords: Equity return dispersion, Stock market volatility, Business cycle, Multivariate causality

Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests,
Alejandro Bernales and Massimo Guidolin, in Journal of Banking & Finance (2014)
Keywords: Equity options; Index options; Implied volatility surface; Predictability; Trading strategies;

On Return and Volatility Timing Abilities in Korean Equity Funds (in Korean),
Sangbae Kim and Taehun Jung, in Economic Analysis (Quarterly) (2010)
Keywords: Korean equity fund, Return timing, Volatility timing, Bootstrap, Cross-sectional luck distribution

Regime Switching Vine Copula Models for Global Equity and Volatility Indices,
Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber, in Econometrics (2017)
Keywords: regular vine copulas; Markov switching; implied volatility index; equity index; global dependence regimes

An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile,
Lech Grzelak and Cornelis Oosterlee, from University Library of Munich, Germany (2010)
Keywords: hybrid models; Heston equity model; Libor Market Model with stochastic volatility; displaced diffusion; affine diffusion; fast calibration.

Correlation and Volatility of the MENA Equity Markets in Turbulent Periods, and Portfolio Implications,
Elie Bouri, in Economics Bulletin (2013)
Keywords: Conditional correlation, conditional volatility, MENA equity markets, stress periods, portfolio diversification

Co-Movement and Volatility Transmission between Islamic and Conventional Equity Index in Bangladesh,
Md Abu Hasan, in Islamic Economic Studies (2019)
Keywords: Islamic and Conventional Equity Market; Cointegration; Volatility Spillover; GARCH-BEKK Model; GARCH-DCC Model

The role of jumps and leverage in forecasting volatility in international equity markets,
Daniel Buncic and Katja I.M. Gisler, in Journal of International Money and Finance (2017)
Keywords: Realized volatility; Jumps; The leverage effect; HAR modelling and forecasting; International equity markets;

Abnormal volatility in seasoned equity offerings during economic disruptions,
Mason Prasad, Walid Bakry and Maria Estela Varua, in Journal of Behavioral and Experimental Finance (2021)
Keywords: Seasoned equity offering; Abnormal return volatility; Abnormal trading volume; GARCH; Event study; ASX;

Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years,
Kuan-Pin Lin, Albert Menkveld and Zhishu Yang, in China Economic Review (2009)
Keywords: China World equity markets Dynamic conditional correlation Volatility Gordon's growth model

Return and volatility spillovers between South African and Nigerian equity markets,
Maphelane Palesa Phume and Lumengo Bonga-Bonga, from University Library of Munich, Germany (2018)
Keywords: South Africa, Nigeria, return and volatility soillovers, equity markets, portfolio selection, hedge ratio.

Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises,
Henry Leung, Dirk Schiereck and Florian Schroeder, in Economic Modelling (2017)
Keywords: G12; G14; Volatility spillover; Contagion; Exchange rate market; Equity market; Financial crisis;

Some solutions to the equity premium and volatility puzzles,
Jinlu Li, from University Library of Munich, Germany (2010)
Keywords: The constant relative risk aversion class utility function; risk premium; time discount factor; parameters defining preferences; parameters defining technologies; the equity premium and volatility puzzles.

The relationship between equity and bond returns: An empirical investigation,
Amer Demirovic, Cherif Guermat and Jon Tucker, in Journal of Financial Markets (2017)
Keywords: Equity-bond correlation; Distance to default; Equity volatility;

Asymmetric responses of equity returns to changes in exchange rates at different market volatility levels,
Michael D. Herley, Lucjan Orlowski and Mark A. Ritter, in The Journal of Economic Asymmetries (2023)
Keywords: Exchange rates; Equity returns; Equity market volatility; VIX; Markov switching; SETAR;

The relationship between energy and equity markets: Evidence from volatility impulse response functions,
Eric Olson, Andrew J. Vivian and Mark Wohar, in Energy Economics (2014)
Keywords: Volatility impulse response functions; Dynamic hedge ratios; Volatility spillovers; Conditional correlation; Commodity market; Equity index;

Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis,
Dilip Kumar, in International Review of Economics & Finance (2017)
Keywords: Volatility transmission; Crude oil; Equity sectors; Contagion; Realized volatility; Structural breaks;

Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain,
Evan Warshaw, in International Review of Economics & Finance (2020)
Keywords: Volatility spillover; Frequency domain causality; Realized volatility; Equity prices; Exchange rates;

Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility,
Santiago Forte and Lidija Lovreta, in Journal of Corporate Finance (2023)
Keywords: Credit default swaps; Capital structure; Asset volatility; Equity volatility; Leverage effect; Cross-sectional predictability;

The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?,
Wasim Ahmad, Jose Arreola Hernandez, Seema Saini and Ritesh Kumar Mishra, in Resources Policy (2021)
Keywords: Spillovers; US equity Sectors; Oil implied volatility; Gold implied volatility; COVID-19; Frequency connectedness;

Volatility arbitrage around earnings announcements: Evidence from the Korean equity linked warrants market,
Bok Baik, Hyoung-Goo Kang and Young Jun Kim, in Pacific-Basin Finance Journal (2013)
Keywords: Volatility arbitrage; Earnings announcement; Implied volatility; Equity linked warrant (ELW); Derivative warrant;

The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data,
Rangan Gupta and Mark Wohar, from University of Pretoria, Department of Economics (2018)
Keywords: Equity prices, Monetary policy rate uncertainty, Realized volatility, Risk-free interest rates, Volatility forecasting

IMPLIED AND REALIZED VOLATILITY IN THE CROSS-SECTION OF EQUITY OPTIONS,
Manuel Ammann, David Skovmand and Michael Verhofen, in International Journal of Theoretical and Applied Finance (IJTAF) (2009)
Keywords: Implied volatility, realized volatility

Options on a Stock with Market-Dependent Volatility,
J. Chalupa, from University Library of Munich, Germany (1998)
Keywords: equity options, implied volatility, hedging

Excess Volatility in European Equity Style Indices - New Evidence,
Marian Berneburg, from Halle Institute for Economic Research (IWH) (2006)
Keywords: Aktienmarkteffizienz, Discouned Cashflow, Excess Volatility, Variance Bound Tests, Kointegration, Equity Market Efficiency, Discounted Cashflow, Excess Volatility, Variance Bound Test, Cointegration Tests

What drives international equity correlations? Volatility or market direction?,
Khaled Amira, Abderrahim Taamouti and Georges Tsafack, in Journal of International Money and Finance (2011)
Keywords: International equity markets Asymmetric volatility Asymmetric correlation Estimation error Vector autoregressive (VAR) DCC-GARCH Generalized impulse response function Granger causality

Volatility in U.S. Housing Sector and the REIT Equity Return,
Masud Alam, in The Journal of Real Estate Finance and Economics (2024)
Keywords: Housing risk index, REIT equity return, Housing volatility, TGARCH, Intertemporal Capital Asset Pricing Model, Risk-return relation