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~isPartOf:"CESifo working papers"
~isPartOf:"The European journal of finance"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~subject:"Börsenkurs"
~subject:"Theorie"
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Caporale, Guglielmo Maria
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356
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1
Quantile dependencies between discontinuities and time-varying rare disaster risks
Gillas, Konstantinos Gkillas
;
Floros, Christos
; …
- In:
The European journal of finance
27
(
2021
)
10
,
pp. 932-962
Persistent link: https://www.econbiz.de/10012609242
Saved in:
2
Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin
;
Dovern, Jonas
;
Enders, Zeno
-
2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
Saved in:
3
Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2021
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...
Persistent link: https://www.econbiz.de/10012520863
Saved in:
4
How candlestick features affect the performance of
volatility
forecasts : evidence from the stock market
Su, Jung-bin
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 486-506
Persistent link: https://www.econbiz.de/10010528953
Saved in:
5
Stock market regulation and news dissemination : evidence from an emerging market
Farag, Hisham
;
Cressy, Robert C.
- In:
The European journal of finance
18
(
2012
)
3/4
,
pp. 351-368
Persistent link: https://www.econbiz.de/10009667519
Saved in:
6
Asymmetric connectedness on the US stock market : bad and good
volatility
spillovers
Baruník, Jozef
;
Kočenda, Evžen
;
Vácha, Lukáš
-
2015
This paper suggests how to quantify asymmetries in
volatility
spillovers that emerge due to bad and good
volatility
… stocks at the disaggregate level. Moreover, the spillovers of bad and good
volatility
are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010509638
Saved in:
7
The micro dynamics of macro announcements
Mittnik, Stefan
;
Robinzonov, Nikolay
;
Wohlrabe, Klaus
-
2013
response analysis. Second, we examine the announcements effects on market
volatility
in a more detailed fashion by … adequately analyze both conditional mean and
volatility
effects. …
Persistent link: https://www.econbiz.de/10010190208
Saved in:
8
Terror attacks and stock-market fluctuations : evidence based on a nonparametric causality-in-quantiles test for the G7 countries
Balcilar, Mehmet
;
Gupta, Rangan
;
Pierdzioch, Christian
; …
- In:
The European journal of finance
24
(
2018
)
4/6
,
pp. 333-346
Persistent link: https://www.econbiz.de/10012244323
Saved in:
9
Stock market contagion in Central and Eastern Europe : unexpected
volatility
and extreme co-exceedance
Horváth, Roman
;
Lyócsa, Štefan
;
Baumöhl, Eduard
- In:
The European journal of finance
24
(
2018
)
4/6
,
pp. 391-412
Persistent link: https://www.econbiz.de/10012244328
Saved in:
10
Persistence in the Russian stock market
volatility
indices
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2018
volatility
índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …
Persistent link: https://www.econbiz.de/10011903723
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