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Do common volatility models capture cyclical behaviour in volatility?

Clements, Adam; Collet, Jérôme - In: Applied financial economics 18 (2008) 7/9, pp. 599-604

Persistent link: https://www.econbiz.de/10003739247

Financial deeping and business cycle volatility in Korea

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Persistent link: https://www.econbiz.de/10010260182

Precious metal markets, stock markets and the macroeconomic environment : FAVAR model approach

Apergēs, Nikolaos; Christou, Christina; Payne, James E. - In: Applied financial economics 24 (2014) 10/12, pp. 691-703

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Macroeconomic volatility and stock market volatility : empirical evidence on Finnish data

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The effect on the Swedish real economy of the financial crisis

Österholm, Pär - In: Applied financial economics 20 (2010) 4/6, pp. 265-274

This article investigates the effects of the financial crisis on the Swedish real economy. In order to do this, an index which describes the financial conditions of the Swedish economy is developed. The index indicates that domestic Swedish financial conditions have deteriorated substantially...

Persistent link: https://www.econbiz.de/10003963103

Momentum strategy and credit risk

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Measuring mutual fund asymmetric performance in changing market conditions : evidence from a Bayesian threshold model

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Financial instability and the short-term dynamics of volatility expectations

Maghrebi, Nabil; Holmes, Mark J.; Oya, Kosuke - In: Applied financial economics 24 (2014) 4/6, pp. 377-395

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Cross-border sentiment : an empirical analysis on EU stock markets

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Forecasting volatility in developing countries' nominal exchange returns

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Persistent link: https://www.econbiz.de/10010260183

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