Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis
Year of publication: |
2014
|
---|---|
Authors: | Caporale, Guglielmo Maria ; Spagnolo, Fabio ; Spagnolo, Nicola |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | macro news | volatility spillovers | VAR-GARCH-in-mean model |
Series: | CESifo Working Paper ; 4912 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 791614530 [GVK] hdl:10419/102120 [Handle] RePec:ces:ceswps:_4912 [RePEc] |
Classification: | C32 - Time-Series Models ; F36 - Financial Aspects of Economic Integration ; G15 - International Financial Markets |
Source: |
-
Macro news and stock returns in the euro area: A VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria, (2014)
-
Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis
Caporale, Guglielmo Maria, (2014)
-
Macro news and stock returns in the euro area : a VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria, (2014)
- More ...
-
Macro news and commodity returns
Caporale, Guglielmo Maria, (2015)
-
International portfolio flows and exchange rate volatility for emerging markets
Caporale, Guglielmo Maria, (2015)
-
Macro News and Commodity Returns
Caporale, Guglielmo Maria, (2015)
- More ...