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   Articles with "volatility" as a keyword



Comparing risk profiles of international stock markets as functional data: COVID‐19 versus the global financial crisis

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recommendations! Published in 2024 at "Applied Stochastic Models in Business and Industry"

DOI: 10.1002/asmb.2879

Abstract: In this article, we aim to provide a detailed econometric analysis of the realized volatility in international stock markets of Brazil, China, Europe, India, the United Kingdom, and the United States, which represent a mix… read more here.

Keywords: financial crisis; stock markets; volatility; functional data ... See more keywords

Forecasting Gold Returns Volatility Over 1258–2023: The Role of Moments

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recommendations! Published in 2025 at "Applied Stochastic Models in Business and Industry"

DOI: 10.1002/asmb.70042

Abstract: We analyze the role of leverage, lower and upper tail risks, skewness, and kurtosis of real gold returns in forecasting its volatility over the annual data sample from 1258 to 2023. To conduct our forecasting… read more here.

Keywords: 1258 2023; role moments; gold returns; volatility ... See more keywords

Evaluating the Resilience of ESG Investments in European Markets During Turmoil Periods

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recommendations! Published in 2025 at "Corporate Social Responsibility and Environmental Management"

DOI: 10.1002/csr.3225

Abstract: This study investigates the resilience of Environmental, Social, and Governance (ESG) investments during periods of financial instability, comparing them with traditional equity indices of the three largest economies in the European Union by gross domestic… read more here.

Keywords: volatility; resilience esg; esg; esg investments ... See more keywords

Controlling the Thermal Stability and Volatility of Organogold(I) Compounds for Vapor Deposition with Complementary Ligand Design

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recommendations! Published in 2019 at "European Journal of Inorganic Chemistry"

DOI: 10.1002/ejic.201901087

Abstract: Atomic layer deposition (ALD) of gold is being studied by multiple research groups, but to date no process using non-energetic co-reactants has been demonstrated. In order to access milder co-reactants, precursors with higher thermal stability… read more here.

Keywords: volatility; ligand; vapor deposition; deposition ... See more keywords

Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity prices

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recommendations! Published in 2017 at "Journal of Forecasting"

DOI: 10.1002/for.2463

Abstract: This paper uses high-frequency continuous intraday electricity price data from the EPEX market to estimate and forecast realized volatility. Three different jump tests are used to break down the variation into jump and continuous components… read more here.

Keywords: realized volatility; volatility; intraday electricity; continuous intraday ... See more keywords
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Modeling and Forecasting Aggregate Stock Market Volatility in Unstable Environments using Mixture Innovation Regressions

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recommendations! Published in 2017 at "Journal of Forecasting"

DOI: 10.1002/for.2466

Abstract: We examine whether it is possible to improve volatility forecasts by simultaneously accounting for parameter instability and model uncertainty. Changes in the regression coefficients and/or the error variance are driven by mixture distributions for state… read more here.

Keywords: volatility; stock market; modeling forecasting; mixture ... See more keywords
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Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms

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recommendations! Published in 2020 at "Journal of Forecasting"

DOI: 10.1002/for.2648

Abstract: This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models. In addition, the implications with respect to network analysis—using the connectedness approach of Diebold and Y ιlmaz (Journal… read more here.

Keywords: impulse response; volatility impulse; volatility; analysis ... See more keywords
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What matters when developing oil price volatility forecasting frameworks

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recommendations! Published in 2021 at "Journal of Forecasting"

DOI: 10.1002/for.2815

Abstract: Forecasting oil price volatility is considered of major importance for numerous stakeholders, including, policy makers, industries and investors. This paper examines and evaluates the main factors that oil price volatility forecasters should take before constructing… read more here.

Keywords: price volatility; oil price; volatility; forecasting ... See more keywords

Volatility forecasting incorporating intraday positive and negative jumps based on deep learning model

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recommendations! Published in 2024 at "Journal of Forecasting"

DOI: 10.1002/for.3146

Abstract: Most existing studies on volatility forecasting have focused on interday characteristics and ignored intraday characteristics of high‐frequency data, especially the asymmetric impact of positive and negative jumps on volatility. In this paper, 5‐min high‐frequency data… read more here.

Keywords: positive negative; volatility forecasting; forecasting incorporating; volatility ... See more keywords

Modeling Volatility Dynamics in Emerging Markets: Novel Evidence From Large Set of Predictors

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recommendations! Published in 2025 at "Journal of Forecasting"

DOI: 10.1002/for.70009

Abstract: This study examines the effectiveness of different predictors to forecast volatility of E7 emerging markets. First, we employ the economic uncertainty factors information to find out the economic impact on stock market volatility. Second, we… read more here.

Keywords: market volatility; market; volatility; emerging markets ... See more keywords

The Information Content of Overnight Information for Volatility Forecasting: Evidence From China's Stock Market

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recommendations! Published in 2025 at "Journal of Forecasting"

DOI: 10.1002/for.70011

Abstract: Using overnight volatility as the proxy for overnight information, this paper models future Chinese stock market realized range–based volatility (RRV) within a class of heterogeneous autoregressive models augmented by this proxy. We confirm the important… read more here.

Keywords: information; market; volatility; overnight information ... See more keywords