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Displaying results 51 to 75 of 119.

  1. Intra-market linkages in the financial sector and their effects on financial inclusion
    Author: Lidiema, Caspah
    Published: September 2018
    Publisher:  Kenya Bankers Association, Nairobi

    Purpose: This paper examined Financial intra-market linkages (dynamic relationship and volatility spillovers) effects between the Commercial banks and other financial sector segments (Insurance and capital Markets) in Kenya and the impact of this... more

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    Purpose: This paper examined Financial intra-market linkages (dynamic relationship and volatility spillovers) effects between the Commercial banks and other financial sector segments (Insurance and capital Markets) in Kenya and the impact of this transmission on Financial Inclusion. Method: This study evaluates the effect of intra-market linkages on financial inclusion using Bayesian Vector Autoregressive (BVAR) using monthly data from Kenyan market during the period January 2004 - December 2016. Impulse-response analysis and forecast error variance decomposition was used to investigate this intra-market linkages and their causal effect to financial inclusion. Findings: Results indicate that there is significant market interactions and interlinkages with significant shocks transmission moving from banks to other markets. Interest rates shocks transmission affected all markets. This means that monetary policy transmission as expected trickles down to the entire financial sector. The study also found out that, Positive shocks from credit impacts positively on lending rate and the capital markets performance implying banking mechanism to reward increased loan uptake at cheaper prices and hence creating cash flow that spills over to more investment on the securities exchange. Policy recommendation: The study recommends that policy makers to design policies that help minimize the adverse impact of volatility/shocks but create opportunities for growth on each market o foster price stability and increase investments through financial inclusion.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/249529
    Series: KBA Centre for Research on Financial Markets and Policy working paper series ; WPS, 18, 06 = 28
    Subjects: Spillover; Commercial banks; BVAR; Shocks; Volatility
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  2. Impact and hedging attribute of gold in the international financial market
    with latest empirical approach and data
    Author: Qian, Xinyi
    Published: 2021
    Publisher:  Universitätsbibliothek der Universität Siegen, Siegen

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    Source: Union catalogues
    Contributor: Baskaran, Thushyanthan (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: Gold; Financial Time Series; Volatility; Spillover; Exchange Rate; Stock Market Index; Hedge; Finanzielle Zeitreihen; Volatilität; Devisenkurs; Aktienmarkt-Index; Absicherung
    Scope: 1 Online-Ressource (circa 101 Seiten)
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    Dissertation, Universität Siegen, 2021
  3. Dynamic interdependence and volatility transmission from the American to the Brazilian stock market
    Author: Monte, Edson Zambon; Defanti, Lucas Barbosa
    Published: [2021]
    Publisher:  EERI, Economics and Econometrics Research Institute, Brussels, Belgium

    The main aim of this paper is to verify the dynamic interdependence and transmission of volatility from the American (SP500) to the Brazilian stock market (IBOVESPA and sectoral indexes). Estimates were performed by GARCH/BEKK methodology,... more

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    The main aim of this paper is to verify the dynamic interdependence and transmission of volatility from the American (SP500) to the Brazilian stock market (IBOVESPA and sectoral indexes). Estimates were performed by GARCH/BEKK methodology, considering the period from January 2007 to December 2019. In the periods considered as "critical events" there was a significant increase in the conditional covariance between SP500 and Brazilian stock indexes (IBOVESPA and sector indices), which suggests for the hypothesis of financial contagion. The covariance increased more intensely and persistently during the so-called subprime crisis, one that had a major impact on the Brazilian economy, especially for the financial and industrial indexes. Furthermore, conditional variance estimates for Brazilian indexes revealed that that internal turmoil, whether economic or political, regardless of the international scenario ("critical events"), affected the volatility of the Brazilian stock market. These results have important implications regarding the future decisions of economic agents (politicians and investors), contributing to a better understanding of the behavior of the Brazilian stock market vis-à-vis the American stock market and the internal turbulences in the Brazilian economy, whether political or economic.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/251113
    Series: EERI research paper series ; no 2021, 09
    Subjects: United States; Brazil; Stock Market; Volatility; GARCH-BEKK
    Scope: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  4. On the volatility of cryptocurrencies
    Author: Stengos, Thanasēs; Panagiōtidēs, Theodōros; Papapanagiotou, Georgios
    Published: [2022]
    Publisher:  Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario, Canada

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    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph ; 2022, 02
    Subjects: Bitcoin; Cryptocurrency; Volatility; GARCH; Markov-switching; Information criteria
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  5. High frequency trading
    strategic competition between slow and fast traders
    Author: Boco, Herve; Germain, Laurent; Rousseau, Fabrice
    Published: January 2020
    Publisher:  Maynooth University, National University of Ireland, Department of Economics, Finance & Accounting, Maynooth

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    Series: Working paper / Maynooth University, National University of Ireland, Department of Economics, Finance & Accounting ; N296 (20)
    Subjects: High frequency trading; Insider; Volatility; Market efficiency
    Scope: 1 Online-Ressource (40 Seiten), Illustrationen
  6. The volatility advantages of large labor markets
    Author: Conte, Maddalena; Méjean, Isabelle; Michalski, Tomasz; Schmutz, Benoît
    Published: 18 March 2024
    Publisher:  Centre for Economic Policy Research, London

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18925
    Subjects: Volatility; Firm location; Agglomeration economies
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  7. Forecasting realized US stock market volatility
    is there a role for economic policy uncertainty?
    Author: Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; Pierdzioch, Christian
    Published: [2024]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/653597
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2024, 08 (March 2024)
    Subjects: Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty? Matteo Bonato University of Johannesburg and IPAG Oguzhan Cepni Copenhagen Business School and Ostim Technical University Rangan Gupta University of Pretoria Christian Pierdzioch Helmut Schmidt University Stock market; Volatility; Forecasting; Moments; Economic policy uncertainty
    Scope: 1 Online-Ressource (circa 39 Seiten)
  8. The evaluation of the effects of ESG scores on financial markets
    Author: Costa, Michele
    Published: [2023]
    Publisher:  Alma Mater Studiorum - Università di Bologna, Department of Economics, Bologna, Italy

    We aim to explore the interplay between ESG scores and assets characteristics, specifically focusing on volatility. We classify stocks on the basis of both high/low ESG and high/low ESG momentum and we evaluate ESG effects by measuring the distance... more

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    We aim to explore the interplay between ESG scores and assets characteristics, specifically focusing on volatility. We classify stocks on the basis of both high/low ESG and high/low ESG momentum and we evaluate ESG effects by measuring the distance between the 2 group distributions. The analysis of stocks within the STOXX Europe 600 Index from 2017 to 2022 suggests that companies with higher ESG tend to exhibit lower volatility. However, we haven't observed a similar trend when examining ESG momentum. Furthermore, our findings enable us to highlight and compare the effects associated with the COVID pandemic and the conflict in Ukraine.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/282311
    Series: Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics ; no 1189
    Subjects: Sustainable finance; ESG; Stock market risk; Volatility
    Scope: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  9. The stock market effects of committing and setting GHG targets
    evidence from the science-based initiative
    Author: Guerrero-Escobar, Santiago; Hernández del Valle, Gerardo; Hernández Vega, Marco; Mora, Paula de la
    Published: November 2023
    Publisher:  [Banco de México], [Ciudad de México, México]

    Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the... more

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    Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the authors and a panel fixed effects model, this paper analyzes the short-run effects of committing and setting GHG targets on public companies' stock price returns and volatility. We find no evidence that committing or setting a target yields higher returns but contributes to a reduction in price volatility, albeit the impact is short-lived. In view of these results, we conclude that there are no visible stock market gains in the short term for companies that commit and set GHG targets and that other factors may explain their motivations to engage in GHG mitigation actions.

     
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    Language: English
    Media type: Book
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    hdl: 10419/297008
    Series: Working papers / Banco de México ; no 2023, 15
    Subjects: Stock returns; Volatility; GHG emissions; ESG; GARCH
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  10. Reasons behind words
    OPEC narratives and the oil market
    Author: Brunetti, Celso; Joëts, Marc; Mignon, Valérie
    Published: January 10, 2024
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Finance and economics discussion series ; 2024, 003
    Subjects: OPEC Announcements; Structural Topic Models; Volatility; Traders' Positions
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  11. Reasons behind words
    OPEC narratives and the oil market
    Author: Brunetti, Celso; Joëts, Marc; Mignon, Valérie
    Published: September 2023
    Publisher:  CEPII, Paris

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    Series: CEPII working paper ; no. 2023-19 (September 2023)
    Subjects: OPEC Announcements; Structural Topic Models; Volatility; Traders' Positions
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  12. Oil price and its impact on firms' return volatility
    Author: Rajvanshi, Vivek
    Published: [2020]
    Publisher:  Indian Institute of Management Calcutta, Calcutta

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    Series: Working paper series / Indian Institute of Management Calcutta ; no. 841
    Subjects: Crude oil; Volatility; Emerging Markets
    Scope: 1 Online-Ressource (circa 15 Seiten), Illustrationen
  13. Essays on financial time series with a focus on high-frequency data
    Author: Becker, Janis
    Published: 2020
    Publisher:  Gottfried Wilhelm Leibniz Universität Hannover, Hannover

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    Source: Union catalogues
    Contributor: Sibbertsen, Philipp (AkademischeR BetreuerIn); Prokopczuk, Marcel (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: Fractional Cointegration; High-Frequency Data; Long Memory; Persistence; Return Predictability; Realized Variance; Squared Returns; Volatility
    Scope: 1 Online-Ressource (VIII, 182 Seiten, 2437 KB)
    Notes:

    Enthält mehrere Beiträge

    Dissertation, Gottfried Wilhelm Leibniz Universität Hannover, 2020
  14. The currency composition of international portfolio assets
    Author: Galstyan, Vahagn; Mehigan, Caroline; Mercado, Rogelio V.
    Published: January 2019
    Publisher:  The South East Asian Central Banks (SEACEN) Research and Training Centre, Kuala Lumpur, Malaysia

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    Language: English
    Media type: Book
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    Series: Working paper / [SEACEN] ; 2019, 1
    Subjects: Currency Composition; International Portfolio Assets; Trade; Volatility
    Scope: iv, 17 Seiten, Illustrationen
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    Erscheint auch als Online-Ausgabe
  15. The RMB central parity formation mechanism
    August 2015 to December 2016
    Author: Cheung, Yin-Wong; Hui, Cho H.; Tsang, Andrew
    Published: [2017]
    Publisher:  Hong Kong Institute for Monetary Research, Hong Kong

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    Edition: This Version: March 2018
    Series: HKIMR working paper ; 2017, no. 06 (March 2017)
    Subjects: China’s Exchange Rate Policy; Currency Basket; Multiplicative Interaction Model; Onshore and Offshore RMB Rates; Volatility
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  16. How to estimate a VAR after March 2020
    Author: Lenza, Michele; Primiceri, Giorgio E.
    Published: [2020]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper illustrates how to handle a sequence of extreme observations-such as those recorded during the COVID-19 pandemic-when estimating a Vector Autoregression, which is the most popular time-series model in macroeconomics. Our results show that... more

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    This paper illustrates how to handle a sequence of extreme observations-such as those recorded during the COVID-19 pandemic-when estimating a Vector Autoregression, which is the most popular time-series model in macroeconomics. Our results show that the ad-hoc strategy of dropping these observations may be acceptable for the purpose of parameter estimation. However, disregarding these recent data is inappropriate for forecasting the future evolution of the economy, because it vastly underestimates uncertainty.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289943789
    Other identifier:
    hdl: 10419/229075
    Series: Working paper series / European Central Bank ; no 2461 (August 2020)
    Subjects: COVID-19; Volatility; Outliers; Density Forecasts
    Scope: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  17. Good vs. bad volatility in major cryptocurrencies
    the dichotomy and drivers of connectedness
    Author: Sila, Jan; Kočenda, Evžen; Krištoufek, Ladislav; Kukacka, Jiri
    Published: [2023]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness... more

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    Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into positive and negative components and employ the time-varying parameters vector autoregression (TVP-VAR) framework to show distinct dynamics associated with market booms and downturns. The results suggest that crypto connectedness reflects important events and exhibits more variable and cyclical dynamics than those of traditional financial markets. Periods of extremely high or low connectedness are clearly linked to specific events in the crypto market and macroeconomic or monetary history. Furthermore, existing asymmetry from good and bad volatility indicates that information about market downturns spills over substantially faster than news about comparable market surges. Overall, the connectedness dynamics are predominantly driven by fundamental crypto factors, while the asymmetry measure also depends on macro factors such as the VIX index and the expected inflation.

     
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    Other identifier:
    hdl: 10419/286353
    Series: IES working paper ; 2023, 24
    Subjects: Volatility; Dynamic connectedness; Asymmetric effects; Cryptocurrency
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  18. Reasons behind words: OPEC narratives and the oil market
    Author: Brunetti, Celso; Joëts, Marc; Mignon, Valérie
    Published: [2023]
    Publisher:  EconomiX - UMR 7235, Université Paris Nanterre, Nanterre

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / EconomiX ; 2023, 24
    Subjects: OPEC Announcements; Structural Topic Models; Volatility; Traders' Positions
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  19. What explains the volatility in Pakistan's sovereign bond yields?
    Author: Waheed, Mohsin; Hyder, Zulfiqar
    Published: April, 2023
    Publisher:  State Bank of Pakistan, Karachi, Pakistan

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 879
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: SBP working paper series ; no. 112
    Subjects: Volatility; Sovereign bonds; Yield; Eurobond; Sukuk; Spreads
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  20. Mind your language
    market responses to central bank speeches
    Author: Ahrens, Maximilian; Erdemlioglu, Deniz; McMahon, Michael; Neely, Christopher J.; Yang, Xiye
    Published: 02 June 2023
    Publisher:  Centre for Economic Policy Research, London

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18191
    Subjects: Central Bank Communication; Multimodal Machine Learning; Natural Language Pro-cessing; Speech Analysis; High-Frequency Data; Volatility; Tail Risk
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  21. ETF effects
    the role of primary versus secondary market activities
    Author: Comerton-Forde, Carole; Marta, Thomas
    Published: 20 June 2023
    Publisher:  Centre for Economic Policy Research, London

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    Verlag (lizenzpflichtig)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18234
    Subjects: Liquidity; Arbitrage; Volatility; High frequency trading; Exchange-traded funds
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  22. Optimal monetary policy with inflation, output and asset price volatility in an open economy
    Author: Wamalwa, Peter Simiyu
    Published: August, 2023
    Publisher:  African Economic Research Consortium, Nairobi, Kenya

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Rechte
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789966612359
    Series: Research paper / African Economic Research Consortium ; 532
    Subjects: Optimal monetary policy; Output fluctuations; Prices; Volatility
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  23. Rise of the machines
    algorithmic trading in the foreign exchange market
    Published: 2009
    Publisher:  Board of Governors of the Federal Reserve System, Washington, DC

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 201 (980)
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: International finance discussion papers ; 980
    Subjects: Elektronisches Handelssystem; Algorithmus; Börsenkurs; Volatilität; Marktliquidität; Asymmetrische Information; Kapitalmarktrendite; Währungsspekulation; Welt; Algorithmic trading; Volatility; Liquidity provision; Private information
    Scope: Online-Ressource (44 [5] S., 413,00), graph. Darst.
  24. How volatile is ENSO for global greenhouse gas emissions and the global economy?
    Author: Lan Fen Chu; McAleer, Michael; Chen, Chi-chung
    Published: 2013

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/87381
    Series: Array ; 2013,007
    Subjects: Treibhausgas-Emissionen; Luftverschmutzung; Klimawandel; ARMA-Modell; ARCH-Modell; Welt; El Niños Southern Oscillations (ENSO); Greenhouse gas emissions; Global economy; Southern oscillation index (SOI); Sea surface temperature (SST); Volatility
    Scope: Online-Ressource (31 S.)
    Notes:

    ENSO = El Niños Southern Oscillations
  25. Recent developments in financial economics and econometrics
    an overview
    Author: Chang, Chia-Lin; Allen, David E.; McAleer, Michael
    Published: 2013

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information