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2.363  Articles
1 of 237 pages  |  10  records  |  more records»
This paper investigates two issues: whether there is heterogeneity for fund managers as investors and whether there is asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return data from... see more

Macroeconomic are important variables influencing volatility in the bond market. Some of the challenges faced such as default risk, liquidity risk, interest rate risk, inflation risk, and exchange rate risk. This study is aimed at examining asymmetric vol... see more

This study aims to analyze the transmissions of volatility spillovers from China, Singapore, South Korea, and Japan stock markets to the Indonesian stock market and prove an asymmetric effect on spillover volatility. The data retrieved from the stock inde... see more

AbstractOrientation: Modelling of international tourist arrivals’ volatility is vital for marketing, planning, policy formulation and investment purposes among others. Symmetric and asymmetric tourism volatility models for years 2000–2017 were fitted... see more

In every parametric formula of pricing a financial instrument, factors used in the calculation generally include the volatility estimate. Volatility measures the likely changes of the price for a specific period of time. The accuracy of estimated price st... see more

This study has the purpose to examine the effect of political events on the volatility of stocks traded on the Indonesia Stock Exchange (IDX). Furthermore, this study also sees whether such political events also influence the shares that have direct links... see more

AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that be... see more

This study sought to model the stock market return volatility at the Nairobi Securities Exchange (NSE) in the presence of structural breaks. Using daily NSE 20 share index for the period 04/01/2010  to  29/12/2017,  the market return volati... see more

1 of 237 pages  |  10  records  |  more records»