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Cross-asset time-series momentum : crude oil volatility and global stock markets

Fernandez-Perez, Adrian; Indriawan, Ivan; Tse, Yiuman; … - In: Journal of banking & finance 154 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014492117

Commodity and equity markets : some stylized facts from a copula approach

Delatte, Anne-Laure; Lopez, Claude - In: Journal of banking & finance 37 (2013) 12, pp. 5346-5356

Persistent link: https://www.econbiz.de/10010343717

Stock market volatility around national elections

Białkowski, Je̜drzej; Gottschalk, Katrin; Wisniewski, … - In: Journal of banking & finance 32 (2008) 9, pp. 1941-1953

Persistent link: https://www.econbiz.de/10003775031

Explaining international stock correlations with CPI fluctuations and market volatility

Cai, Yijie; Chou, Ray Yeutien; Li, Dan - In: Journal of banking & finance 33 (2009) 11, pp. 2026-2035

Persistent link: https://www.econbiz.de/10003892191

Volatility risk and the value premium : evidence from the French stock market

Arisoy, Yakup Eser - In: Journal of banking & finance 34 (2010) 5, pp. 975-983

Persistent link: https://www.econbiz.de/10003971321

The trading behavior of institutions and individuals in Chinese equity markets

Ng, Lilian K.; Wu, Fei - In: Journal of banking & finance 31 (2007) 9, pp. 2695-2710

Persistent link: https://www.econbiz.de/10003572352

Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets

Daal, Elton; Naka, Atsuyuki; Yu, Jung-suk - In: Journal of banking & finance 31 (2007) 9, pp. 2751-2769

Persistent link: https://www.econbiz.de/10003572361

A note on the Wang and Wang measure of the quality of the compass rose

Mitchell, Heather; McKenzie, Michael D. - In: Journal of banking & finance 30 (2006) 12, pp. 3519-3524

Persistent link: https://www.econbiz.de/10003394502

Macroeconomic news, announcements, and stock market jump intensity dynamics

Gonzalo Rangel, José - In: Journal of banking & finance 35 (2011) 5, pp. 1263-1276

Persistent link: https://www.econbiz.de/10009245237

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080