R&D investment intensity and jump volatility of stock price
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DOI: 10.1007/s11156-020-00944-3
Abstract: This paper studies the important but unexplored relationship between R&D investment intensity and different components of stock price volatility. The total volatility of stock price is decomposed into a continuous component and a jump component.… read more here.
Keywords: investment intensity; volatility stock; stock; stock price ... See more keywords
Oil market volatility and stock market volatility
Sign Up to like & getrecommendations! Published in 2018 at "Finance Research Letters"
DOI: 10.1016/j.frl.2018.02.001
Abstract: This paper studies the comovement between volatility of the equity market and the oil market, both for implied and realized volatilities. The wavelet methodology enables us to study this relationship on various time scales. We… read more here.
Keywords: volatility stock; volatility; oil market; market ... See more keywords