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Do exchange-traded fund activities destabilize the stock market? : evidence from the China securities index 300 stocks
Chen, Jilong; Xu, Liao - In: Economic modelling 127 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014464128
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416
Persistent link: https://www.econbiz.de/10008825760
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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
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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
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Risk-return tradeoff and serial correlation in the Chinese stock market : a bailout-driven crash feedback hypothesis
Yao, Jing; Yang, Yiwen - In: Economic modelling 129 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014472100
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Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market
Liu, Wei; Garrett, Ian - In: Economic modelling 128 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014464307
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Linear and non-linear transmission of equity ruturn volatility : evidence from the US, Japan and Australia
Brooks, Chris; Henry, Ólan Thomas John - In: Economic modelling 17 (2000) 4, pp. 497-513
Persistent link: https://www.econbiz.de/10001533881
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Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis
Kim, Hyun Seok; Min, Hong-ghi; McDonald, Judith Ann - In: Economic modelling 59 (2016), pp. 9-22
Persistent link: https://www.econbiz.de/10011647590
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Policy risks, technological risks and stock returns : new evidence from the US stock market
Apergēs, Nikolaos - In: Economic modelling 51 (2015), pp. 359-365
Persistent link: https://www.econbiz.de/10011476052
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The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets
Fang, Libing; Yu, Honghai; Li, Lei - In: Economic modelling 66 (2017), pp. 139-145
Persistent link: https://www.econbiz.de/10011813695