Search for Articles:
Title / Keyword
Author / Affiliation / Email
Journal
Article Type
 
 
Advanced Search
 
Section
Special Issue
Volume
Issue
Number
Page
 
2.8
Journals
JRFM
Special Issues
Price Volatility in Financial and Commodity Markets
share announcement

Price Volatility in Financial and Commodity Markets

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (30 April 2023) | Viewed by 3860

Special Issue Editors

Prof. Dr. Edoardo Otranto

E-Mail Website
Guest Editor
Department of Economics, University of Messina, 98122 Messina, Italy
Interests: time series; forecasting; models for volatility; models for conditional correlations in financial markets; structural changes; clustering
Special Issues, Collections and Topics in MDPI journals
Dr. Antonio Fabio Forgione

E-Mail Website
Guest Editor
Department of Economics, University of Messina, 98122 Messina, Italy
Interests: bank financial performance; bank efficiency; bank market power; environmental performance
Special Issues, Collections and Topics in MDPI journals
Dr. Carmelo Algeri

E-Mail Website
Guest Editor
Department of Management, University of Bologna, 40126 Bologna, Italy
Interests: banking and finance; financial economics; spatial econometrics; panel data
Dr. Luca Scaffidi Domianello

E-Mail Website
Guest Editor
Departments of Statistics, Social Science, Applications, University of Florence, 50134 Florence, Italy
Interests: time series; volatility models; multivariate volatility models; Markov switching models

Special Issue Information

Dear Colleagues,

Modeling financial and commodity market volatility is a widely studied topic in financial econometrics literature due to its importance for financial applications such as pricing, hedging, risk management, and other related issues. In recent decades, researchers have proposed several extensions of the original models to reproduce the different stylized facts that characterize asset returns. Moreover, through the availability of ultra-high-frequency data for asset prices, researchers have computed new ex-post volatility measures at a lower frequency level, so new models on the conditional variance of returns have been spread in the literature.

Thus, in this Special Issue, we invite submissions related to recent advances in volatility modeling and forecasting such as component models, nonlinearity, volatility spillovers, the effect of exogenous variables and jumps, and other related issues. Additionally, original contributions to multivariate volatility models will be appreciated.

Prof. Dr. Edoardo Otranto
Dr. Antonio Fabio Forgione
Dr. Carmelo Algeri
Dr. Luca Scaffidi Domianello
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • time series
  • volatility modeling
  • forecasting
  • ultra-high-frequency data
  • multivariate volatility models

Published Papers (1 paper)

Order results
Result details
Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:

Research

16 pages, 664 KiB  
Article
An Event Study on the Reaction of Equity and Commodity Markets to the Onset of the Russia–Ukraine Conflict
by Pat Obi, Freshia Waweru and Moses Nyangu
J. Risk Financial Manag. 2023, 16(5), 256; https://doi.org/10.3390/jrfm16050256 - 24 Apr 2023
Cited by 4 | Viewed by 3543
Abstract
Using a standard event study methodology and the EGARCH model, this study examined the depth of market anomaly at the onset of the Russia–Ukraine conflict in 2022. Equity markets in Africa and G7 nations were analyzed for their varied political and economic connections [...] Read more.
Using a standard event study methodology and the EGARCH model, this study examined the depth of market anomaly at the onset of the Russia–Ukraine conflict in 2022. Equity markets in Africa and G7 nations were analyzed for their varied political and economic connections to the conflict. While the G7 nations were strongly opposed to Russia, African countries remained neutral. This study shows that abnormal losses in the initial period of the conflict were larger and more persistent in the G7 markets, contradicting the widely held notion that more developed equity markets are more efficient than the less developed markets. EGARCH results revealed that volatility persistence was widely present, although the leverage effect was only confirmed for U.S. and Canada. Throughout the period, commodity prices rose sharply, producing significant abnormal gains in the futures market. Unfortunately, this had a deleterious effect on African economies due to their heavy reliance on grain and fuel imports, all of which are priced in U.S. dollars, and which also rose sharply during the period. This study concludes with suggestions on how to mitigate currency and commodity price shocks to dollar-reliant and import-dependent economies. Full article
(This article belongs to the Special Issue Price Volatility in Financial and Commodity Markets)
►▼ Show Figures

Figure 1

Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:
 
Displaying articles 1-1
Back to TopTop