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Intertemporal relations between the market volatility index and stock index returns

Sarwar, Ghulam - In: Applied financial economics 22 (2012) 10/12, pp. 899-909

Persistent link: https://www.econbiz.de/10009624959

Mattesini, Fabrizio; Becchetti, Leonardo - In: Applied financial economics 19 (2009) 1/3, pp. 99-110

This article investigates the reaction of the Federal Reserve to developments in the stock market. The issue is analysed by first constructing an Index of Stock Price Misalignment (ISPM) in which the fundamental value of the stocks is computed on the basis of the discounted cash flow approach...

Persistent link: https://www.econbiz.de/10003825824

The asymmetric impact of firm-specific and of index returns on the volatility processes of individual stocks

Voukelatos, Nikolaos - In: Applied financial economics 20 (2010) 19/21, pp. 1627-1638

Persistent link: https://www.econbiz.de/10009011576

Business conditions and nonrandom walk behaviour of US stocks and bonds returns

Jirasakuldech, Benjamas; Emekter, Riza; Lee, Unro - In: Applied financial economics 18 (2008) 7/9, pp. 659-672

Persistent link: https://www.econbiz.de/10003739279

The US zero-coupon yield spread as a predictor of excess daily stock market volatility

Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906

Persistent link: https://www.econbiz.de/10010410398

Dynamic dependencies between the Tunisian stock market and other international stock markets : GARCH-EVT-Copula approach

Chebbi, A.; Hedhli, A. - In: Applied financial economics 24 (2014) 16/18, pp. 1215-1228

Persistent link: https://www.econbiz.de/10010418906

Testing volatility on the Trinidad and Tobago Stock Exchange

Leon, Hyginus; Nicholls, Shelton; Sergeant, Kelvin - In: Applied financial economics 10 (2000) 2, pp. 207-220

Persistent link: https://www.econbiz.de/10001526269

European stock market dependencies when price changes are unusually large

Schich, Sebastian T. - In: Applied financial economics 14 (2004) 3, pp. 165-177

Persistent link: https://www.econbiz.de/10001915455

An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

Brooks, Chris; Garrett, Ian; Hinich, Melvin J. - In: Applied financial economics 9 (1999) 6, pp. 605-613

Persistent link: https://www.econbiz.de/10001525291

Interdependence between the US and major European equity markets : evidence from spectral analysis

Asēmakopulos, Iōannēs; Goddard, John A.; … - In: Applied financial economics 10 (2000) 1, pp. 41-47

Persistent link: https://www.econbiz.de/10001525795

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