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Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period
Laborde, David; Rey, Serge - Volkswirtschaftliche Fakultät, … - 2001
(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …
Persistent link: https://www.econbiz.de/10009643213
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Stock Market Dynamics, Leveraged Network-Based Financial Accelerator and Monetary Policy
Riccetti, Luca; Russo, Alberto; Gallegati, Mauro - Volkswirtschaftliche Fakultät, … - 2015
of bankruptcies. In this framework, we find that stock market volatility may damage the real economy if the stock market … is too relevant. In particular, an increase of volatility worsens the economic performance through the stock market …
Persistent link: https://www.econbiz.de/10011253063
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Predictable markets? A news-driven model of the stock market
Gusev, Maxim; Kroujiline, Dimitri; Govorkov, Boris; … - Volkswirtschaftliche Fakultät, … - 2014
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and...
Persistent link: https://www.econbiz.de/10011108097
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Spillovers between oil and stock markets at times of geopolitical unrest and economic turbulence
Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - Volkswirtschaftliche Fakultät, … - 2014
volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that …. The results for both stock market returns and volatility suggest that spillover effects vary across different time periods …
Persistent link: https://www.econbiz.de/10011112400
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The impact of the securities transaction taxes on the Chinese stock market
Su, Yongyang - Volkswirtschaftliche Fakultät, … - 2010
return volatility. Besides, the increases in the STT rate have mixed effects on market efficiency, either improving or …
Persistent link: https://www.econbiz.de/10008506118
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Simulation of interest rate options using ARCH
Bianchi, Carlo; Calzolari, Giorgio; Sterbenz, Frederic P. - Volkswirtschaftliche Fakultät, … - 1991
The autoregressive conditional heteroskedasticity (ARCH) estimation procedure provides a specification of the error …
Persistent link: https://www.econbiz.de/10008642711
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Les transferts des fonds des migrants marocains : Leviers de croissance et du développement
Bouoiyour, Jamal - Volkswirtschaftliche Fakultät, … - 2013
Remittances are an important source of external financing for a country like Morocco. We show in this paper the properties of these financial flows. Indeed, we show that remittances are more stable than foreign direct investment. They are pro-cyclical in some periods and countercyclical in...
Persistent link: https://www.econbiz.de/10011111244
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Anomalias no Mercado no Mercado de Ações Brasileiro: uma Modificação do Modelo de Fama de Fama e French
Lucena, Pierre; Figueiredo, Antonio Carlos - Volkswirtschaftliche Fakultät, … - 2008
The aim of this paper is to present and to test a modification in the traditional Fama and French Multifactor Model (1996), from the necessities of adaptation for the Brazilian case. This model takes into consideration two anomalies, which have to be added to the CAPM Model: size and...
Persistent link: https://www.econbiz.de/10011112251
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Strict stationarity testing and estimation of explosive ARCH models
Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2010
This paper studies the asymptotic properties of the quasi-maximum likelihood estimator of ARCH(1) models without strict stationarity constraints, and considers applications to testing problems. The estimator is unrestricted, in the sense that the value of the intercept, which cannot be...
Persistent link: https://www.econbiz.de/10008560969
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Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach
Klein, A.; Urbig, D.; Kirn, S. - Volkswirtschaftliche Fakultät, … - 2008
markets are largely unobservable. We take an estimation perspective to obtain daily time series of fractions of chartists and … to be mapped to empirical data by the estimation method. This poses heavy computational burdens. Our contribution to this … the estimation procedure, estimate only non-time varying parameters, or estimate only low frequency time series. Approach …
Persistent link: https://www.econbiz.de/10005835845