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Oil price uncertainty and sectoral stock returns in China : a time-varying approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - In: China economic review : an international journal 34 (2015), pp. 311-321

Persistent link: https://www.econbiz.de/10011459802

The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic

Li, Yan; Liang, Chao; Ma, Feng; Wang, Jiqian - In: Finance research letters 36 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012484308

Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? : evidence based on HAR and Ridge regression models

Wei, Yu; Liang, Chao; Li, Yan; Zhang, Xunhui; Wei, Guiwu - In: Finance research letters 35 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012438364

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147

Persistent link: https://www.econbiz.de/10012006763

Macro news and exchange rates in the BRICS

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: Finance research letters 21 (2017), pp. 140-143

Persistent link: https://www.econbiz.de/10011807527

Volatility persistence in the Russian stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 32 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012430826

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance : JEF 46 (2022) 4, pp. 678-703

Persistent link: https://www.econbiz.de/10013442222

The volatility of daily tug-of-war intensity and stock market returns

Bai, Fan; Zhang, Yaqi; Chen, Zhonglu; Li, Yan - In: Finance research letters 55 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10014473224

Asymmetries, uncertainty and inflation : evidence from developed and emerging economies

Anderl, Christina; Caporale, Guglielmo Maria - In: Journal of economics and finance : JEF 47 (2023) 4, pp. 984-1017

Persistent link: https://www.econbiz.de/10014448593

Volatility Spillovers and Contagion From Mature to Emerging Stock Markets

Caporale, Guglielmo Maria - 2008

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...

Persistent link: https://www.econbiz.de/10014401286