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Do jumps matter in both equity market returns and integrated volatility : a comparison of Asian developed and emerging markets

Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies : open access journal 9 (2021) 2, pp. 1-26

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to...

Persistent link: https://www.econbiz.de/10012548334

Correlation regimes in international equity and bond returns

Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410

Persistent link: https://www.econbiz.de/10012793476

Remittances and financial development in Sub-Saharan African countries : a system approach

Coulibaly, Dramane - In: Economic modelling 45 (2015), pp. 249-258

Persistent link: https://www.econbiz.de/10011334086

Financial integration in the euro area : pro-cyclical effects and economic convergence

Ewijk, Saskia E. van; Arnold, Ivo J. M. - In: Economic modelling 44 (2015), pp. 335-342

Persistent link: https://www.econbiz.de/10011326206

Assessing macro-financial linkages : a model comparison exercise

Gerke, Rafael; Jonsson, Magnus; Kliem, Martin; Kolasa, … - In: Economic modelling 31 (2013), pp. 253-264

Persistent link: https://www.econbiz.de/10009729485

Interaction of formal and informal financial markets in quasi-emerging market economies

Ngalawa, Harold; Viegi, Nicola - In: Economic modelling 31 (2013), pp. 614-624

Persistent link: https://www.econbiz.de/10009731475

Debt, interest rates, and integration of financial markets

Claeys, Peter; Moreno, Rosina; Suriñach Caralt, Jordi - In: Economic modelling 29 (2012) 1, pp. 48-59

Persistent link: https://www.econbiz.de/10009658259

Financial development and energy consumption nexus in Malaysia : a multivariate time series analysis

Islam, Faridul; Shahbaz, Muhammad; Ahmed, Ashraf U.; … - In: Economic modelling 30 (2013), pp. 435-441

Persistent link: https://www.econbiz.de/10009706901

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

Economic growth and financial development in Asian countries : a bootstrap panel Granger causality analysis

Hsueh, Shun-jen; Hu, Yu-hau; Tu, Chien Heng - In: Economic modelling 32 (2013), pp. 294-301

Persistent link: https://www.econbiz.de/10009761537

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