Статті в журналах з теми "Volatility predictability"
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Ghosh, Bikramaditya, Krishna M.C., Shrikanth Rao, Emira Kozarević, and Rahul Kumar Pandey. "Predictability and herding of bourse volatility: an econophysics analogue." Investment Management and Financial Innovations 15, no. 2 (June 25, 2018): 317–26. http://dx.doi.org/10.21511/imfi.15(2).2018.28.
Повний текст джерелаCAO, MELANIE. "EFFECTS OF RETURN PREDICTABILITY ON OPTION PRICES WITH STOCHASTIC VOLATILITY FOR THE MARKET PORTFOLIO." Annals of Financial Economics 01, no. 01 (June 2005): 0550005. http://dx.doi.org/10.1142/s2010495205500053.
Повний текст джерелаDichev, Ilia D., and Vicki Wei Tang. "Earnings volatility and earnings predictability." Journal of Accounting and Economics 47, no. 1-2 (March 2009): 160–81. http://dx.doi.org/10.1016/j.jacceco.2008.09.005.
Повний текст джерелаDai, Zhifeng, Huiting Zhou, Xiaodi Dong, and Jie Kang. "Forecasting Stock Market Volatility: A Combination Approach." Discrete Dynamics in Nature and Society 2020 (June 5, 2020): 1–9. http://dx.doi.org/10.1155/2020/1428628.
Повний текст джерелаKim, Jungmu, and Yuen Jung Park. "Predictability of OTC Option Volatility for Future Stock Volatility." Sustainability 12, no. 12 (June 25, 2020): 5200. http://dx.doi.org/10.3390/su12125200.
Повний текст джерелаNguyen, Tristan, and Alexander Schüßler. "Anomalien auf Aktienmärkten." Der Betriebswirt: Volume 54, Issue 2 54, no. 2 (June 30, 2013): 26–30. http://dx.doi.org/10.3790/dbw.54.2.26.
Повний текст джерелаChristopherson, Jon A., and Andrew L. Turner. "Volatility and predictability of manager alpha." Journal of Portfolio Management 18, no. 1 (October 31, 1991): 5–12. http://dx.doi.org/10.3905/jpm.1991.409388.
Повний текст джерелаRaunig, Burkhard. "The predictability of exchange rate volatility." Economics Letters 98, no. 2 (February 2008): 220–28. http://dx.doi.org/10.1016/j.econlet.2007.04.035.
Повний текст джерелаMavrides, Marios. "Predictability and volatility of stock returns." Managerial Finance 29, no. 8 (September 2003): 46–56. http://dx.doi.org/10.1108/03074350310768427.
Повний текст джерелаLi, Xingyi, and Valeriy Zakamulin. "The term structure of volatility predictability." International Journal of Forecasting 36, no. 2 (April 2020): 723–37. http://dx.doi.org/10.1016/j.ijforecast.2019.08.010.
Повний текст джерелаPathak, Rajesh, and Amarnath Mitra. "PREDICTABILITY AND PREDICTORS OF VOLATILITY SMIRK: A STUDY ON INDEX OPTIONS." Business: Theory and Practice 18 (May 3, 2017): 64–70. http://dx.doi.org/10.3846/btp.2017.007.
Повний текст джерелаXiao, Jihong, and Yudong Wang. "Good oil volatility, bad oil volatility, and stock return predictability." International Review of Economics & Finance 80 (July 2022): 953–66. http://dx.doi.org/10.1016/j.iref.2022.03.013.
Повний текст джерелаCatania, Leopoldo, and Mads Sandholdt. "Bitcoin at High Frequency." Journal of Risk and Financial Management 12, no. 1 (February 15, 2019): 36. http://dx.doi.org/10.3390/jrfm12010036.
Повний текст джерелаArfianto, Erman Denny, and Ivan Irawan. "Short Horizon Return Predictability di Pasar Modal Indonesia." Jurnal Pasar Modal dan Bisnis 1, no. 1 (September 2, 2019): 41–54. http://dx.doi.org/10.37194/jpmb.v1i1.7.
Повний текст джерелаMarks, Joseph M., and David P. Simon. "Sector Option Implied Volatility Dynamics and Predictability." Journal of Derivatives 25, no. 2 (November 27, 2017): 22–42. http://dx.doi.org/10.3905/jod.2017.25.2.022.
Повний текст джерелаMateus, Cesario, and Worawuth Konsilp. "Implied Idiosyncratic Volatility and Stock Return Predictability." Journal of Mathematical Finance 04, no. 05 (2014): 338–52. http://dx.doi.org/10.4236/jmf.2014.45032.
Повний текст джерелаDella Corte, Pasquale, Tarun Ramadorai, and Lucio Sarno. "Volatility risk premia and exchange rate predictability." Journal of Financial Economics 120, no. 1 (April 2016): 21–40. http://dx.doi.org/10.1016/j.jfineco.2016.02.015.
Повний текст джерелаAndrei, Daniel, and Michael Hasler. "Dynamic Attention Behavior Under Return Predictability." Management Science 66, no. 7 (July 2020): 2906–28. http://dx.doi.org/10.1287/mnsc.2019.3328.
Повний текст джерелаRaggad, Bechir, and Elie Bouri. "Quantile Dependence between Crude Oil Returns and Implied Volatility: Evidence from Parametric and Nonparametric Tests." Mathematics 11, no. 3 (January 18, 2023): 528. http://dx.doi.org/10.3390/math11030528.
Повний текст джерелаKongsilp, Worawuth, and Cesario Mateus. "Volatility risk and stock return predictability on global financial crises." China Finance Review International 7, no. 1 (February 20, 2017): 33–66. http://dx.doi.org/10.1108/cfri-04-2016-0021.
Повний текст джерелаBonato, Matteo, Konstantinos Gkillas, Rangan Gupta, and Christian Pierdzioch. "Investor Happiness and Predictability of the Realized Volatility of Oil Price." Sustainability 12, no. 10 (May 25, 2020): 4309. http://dx.doi.org/10.3390/su12104309.
Повний текст джерелаFeng, Jiabao, Yudong Wang, and Libo Yin. "Oil volatility risk and stock market volatility predictability: Evidence from G7 countries." Energy Economics 68 (October 2017): 240–54. http://dx.doi.org/10.1016/j.eneco.2017.09.023.
Повний текст джерелаJha, Kislay Kumar, and Dirk G. Baur. "Regime-Dependent Good and Bad Volatility of Bitcoin." Journal of Risk and Financial Management 13, no. 12 (December 7, 2020): 312. http://dx.doi.org/10.3390/jrfm13120312.
Повний текст джерелаCakici, Nusret, Kudret Topyan, and Chia-Jane Wang. "Cross-Sectional Return Predictability in Taiwan Stock Exchange: An Empirical Investigation." Review of Pacific Basin Financial Markets and Policies 17, no. 02 (June 2014): 1450010. http://dx.doi.org/10.1142/s0219091514500106.
Повний текст джерелаKumar, Rakesh. "Risk, uncertainty and stock returns predictability – a case of emerging equity markets." Journal of Financial Economic Policy 10, no. 4 (November 5, 2018): 438–55. http://dx.doi.org/10.1108/jfep-08-2017-0075.
Повний текст джерелаFu, Xi, Y. Eser Arisoy, Mark B. Shackleton, and Mehmet Umutlu. "Option-Implied Volatility Measures and Stock Return Predictability." Journal of Derivatives 24, no. 1 (August 31, 2016): 58–78. http://dx.doi.org/10.3905/jod.2016.24.1.058.
Повний текст джерелаDo Nguyet, Anh. "The Impact of Earnings Volatility on Earnings Predictability." GLOBAL BUSINESS FINANCE REVIEW 22, no. 2 (June 30, 2017): 82–89. http://dx.doi.org/10.17549/gbfr.2017.22.2.82.
Повний текст джерелаLi, Xingyi, and Valeriy Zakamulin. "Stock volatility predictability in bull and bear markets." Quantitative Finance 20, no. 7 (April 7, 2020): 1149–67. http://dx.doi.org/10.1080/14697688.2020.1725101.
Повний текст джерелаDakka, Yadollah. "The Relationship Between Volatility and Predictability of Profit." Journal of Finance and Accounting 3, no. 4 (2015): 69. http://dx.doi.org/10.11648/j.jfa.20150304.12.
Повний текст джерелаChen, Jian, Fuwei Jiang, Yangshu Liu, and Jun Tu. "International volatility risk and Chinese stock return predictability." Journal of International Money and Finance 70 (February 2017): 183–203. http://dx.doi.org/10.1016/j.jimonfin.2016.08.007.
Повний текст джерелаMa, Yao, Baochen Yang, and Yunpeng Su. "Technical trading index, return predictability and idiosyncratic volatility." International Review of Economics & Finance 69 (September 2020): 879–900. http://dx.doi.org/10.1016/j.iref.2020.07.006.
Повний текст джерелаOrnelas, José Renato Haas, and Roberto Baltieri Mauad. "Implied volatility term structure and exchange rate predictability." International Journal of Forecasting 35, no. 4 (October 2019): 1800–1813. http://dx.doi.org/10.1016/j.ijforecast.2019.03.016.
Повний текст джерелаMakina, Daniel. "Mean reversion and predictability of remittances." International Journal of Social Economics 41, no. 12 (November 25, 2014): 1209–19. http://dx.doi.org/10.1108/ijse-02-2014-0038.
Повний текст джерелаChang, Chia-Lin, Jukka Ilomäki, Hannu Laurila, and Michael McAleer. "Long Run Returns Predictability and Volatility with Moving Averages." Risks 6, no. 4 (September 22, 2018): 105. http://dx.doi.org/10.3390/risks6040105.
Повний текст джерелаDai, Zhifeng, Huiting Zhou, Fenghua Wen, and Shaoyi He. "Efficient predictability of stock return volatility: The role of stock market implied volatility." North American Journal of Economics and Finance 52 (April 2020): 101174. http://dx.doi.org/10.1016/j.najef.2020.101174.
Повний текст джерелаRangvid, Jesper, Maik Schmeling, and Andreas Schrimpf. "Dividend Predictability Around the World." Journal of Financial and Quantitative Analysis 49, no. 5-6 (August 22, 2014): 1255–77. http://dx.doi.org/10.1017/s0022109014000477.
Повний текст джерелаFONG, WAI MUN, and WING-KEUNG WONG. "THE STOCHASTIC COMPONENT OF REALIZED VOLATILITY." Annals of Financial Economics 02, no. 01 (June 2006): 0650004. http://dx.doi.org/10.1142/s2010495206500047.
Повний текст джерелаSolibakke, Per Bjarte. "Forecasting Stochastic Volatility Characteristics for the Financial Fossil Oil Market Densities." Journal of Risk and Financial Management 14, no. 11 (October 22, 2021): 510. http://dx.doi.org/10.3390/jrfm14110510.
Повний текст джерелаLiu, Zhaohua, Susheng Wang, Siyi Liu, Haixu Yu, and He Wang. "Volatility Risk Premium, Return Predictability, and ESG Sentiment: Evidence from China’s Spots and Options’ Markets." Complexity 2022 (October 3, 2022): 1–14. http://dx.doi.org/10.1155/2022/6813797.
Повний текст джерелаHofer, Peter, Christoph Eisl, and Albert Mayr. "Forecasting in Austrian companies." Journal of Applied Accounting Research 16, no. 3 (November 9, 2015): 359–82. http://dx.doi.org/10.1108/jaar-10-2014-0113.
Повний текст джерелаBorochkin, A. A. "Volatility and predictability of the Russian ruble exchange rate." Финансы и кредит 23, no. 5 (February 15, 2017): 274–91. http://dx.doi.org/10.24891/fc.23.5.274.
Повний текст джерелаMa, Feng, Yangli Guo, Julien Chevallier, and Dengshi Huang. "Macroeconomic attention, economic policy uncertainty, and stock volatility predictability." International Review of Financial Analysis 84 (November 2022): 102339. http://dx.doi.org/10.1016/j.irfa.2022.102339.
Повний текст джерелаLu, Fei, Feng Ma, Pan Li, and Dengshi Huang. "Natural gas volatility predictability in a data-rich world." International Review of Financial Analysis 83 (October 2022): 102218. http://dx.doi.org/10.1016/j.irfa.2022.102218.
Повний текст джерелаLiu, Zhichao, Jing Liu, Qing Zeng, and Lan Wu. "VIX and stock market volatility predictability: A new approach." Finance Research Letters 48 (August 2022): 102887. http://dx.doi.org/10.1016/j.frl.2022.102887.
Повний текст джерелаCampbell, Sean D. "Macroeconomic Volatility, Predictability, and Uncertainty in the Great Moderation." Journal of Business & Economic Statistics 25, no. 2 (April 2007): 191–200. http://dx.doi.org/10.1198/073500106000000558.
Повний текст джерелаD’Amico, Guglielmo, Fulvio Gismondi, Filippo Petroni, and Flavio Prattico. "Stock market daily volatility and information measures of predictability." Physica A: Statistical Mechanics and its Applications 518 (March 2019): 22–29. http://dx.doi.org/10.1016/j.physa.2018.11.049.
Повний текст джерелаRaggi, Davide, and Silvano Bordignon. "Volatility, Jumps, and Predictability of Returns: A Sequential Analysis." Econometric Reviews 30, no. 6 (November 2011): 669–95. http://dx.doi.org/10.1080/07474938.2011.553570.
Повний текст джерелаBentes, Sonia R., and Rui Menezes. "On the predictability of realized volatility using feasible GLS." Journal of Asian Economics 28 (October 2013): 58–66. http://dx.doi.org/10.1016/j.asieco.2013.08.002.
Повний текст джерелаRaunig, Burkhard. "The longer-horizon predictability of German stock market volatility." International Journal of Forecasting 22, no. 2 (April 2006): 363–72. http://dx.doi.org/10.1016/j.ijforecast.2005.11.003.
Повний текст джерелаKearney, Fearghal, Han Lin Shang, and Lisa Sheenan. "Implied volatility surface predictability: The case of commodity markets." Journal of Banking & Finance 108 (November 2019): 105657. http://dx.doi.org/10.1016/j.jbankfin.2019.105657.
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