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Collet, Jerome; Ielpo, Florian - In: Journal of banking & finance 94 (2018), pp. 267-278

Persistent link: https://www.econbiz.de/10011966651

Have the GIPSI settled down? : breaks and multivariate stochastic volatility models for, and not against, the European financial integration

Ge̜bka, Bartosz; Karoglou, Michail - In: Journal of banking & finance 37 (2013) 9, pp. 3639-3653

Persistent link: https://www.econbiz.de/10010126309

Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method

Mensi, Walid; Hammoudeh, Shawkat; Shahzad, Syed Jawad … - In: Journal of banking & finance 75 (2017), pp. 258-279

Persistent link: https://www.econbiz.de/10011742164

Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy

Cafiso, Gianluca - 2015

deeper and more accurately these two findings by taking Italy as a case study. Our results question the so-called auction …

Persistent link: https://www.econbiz.de/10010519950

Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

- 2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as …

Persistent link: https://www.econbiz.de/10010383808

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on …

Persistent link: https://www.econbiz.de/10010417491

Stock market integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...