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COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...
Persistent link: https://www.econbiz.de/10012626337
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A tale of three schools : insights on autocorrelations of short-horizon stock returns
Boudoukh, Jacob - In: The review of financial studies 7 (1994) 3, pp. 539-573
Persistent link: https://www.econbiz.de/10001169079
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Estimating the effects of information surprises and trading on stock returns using a mixed jump-diffusion model
Nimalendran, Mahendrarajah - In: The review of financial studies 7 (1994) 3, pp. 451-473
Persistent link: https://www.econbiz.de/10001169085
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Temporary components of stock returns : what do the data tell us?
Lamoureux, Christopher G. - In: The review of financial studies 9 (1996) 4, pp. 1033-1059
Persistent link: https://www.econbiz.de/10001212394
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Measuring the predictable variation in stock and bond returns
Kirby, Chris - In: The review of financial studies 10 (1997) 3, pp. 579-630
Persistent link: https://www.econbiz.de/10001227982
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Estimation of the bid-ask spread and its components : a new approach
George, Thomas J. - In: The review of financial studies 4 (1991) 4, pp. 623-656
Persistent link: https://www.econbiz.de/10001120546
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Investor protection and asset prices
Başak, Suleyman; Chabakauri, Georgy; Yavuz, Mehmet Deniz - In: The review of financial studies 32 (2019) 12, pp. 4905-4946
Persistent link: https://www.econbiz.de/10012135513
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Risk, unemployment, and the stock market : a rare-event-based explanation of labor market volatility
Kilic, Mete; Wachter, Jessica - In: The review of financial studies 31 (2018) 12, pp. 4762-4814
Persistent link: https://www.econbiz.de/10012005228
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Jumps in financial markets : a new nonparametric test and jump dynamics
Lee, Suzanne S.; Mykland, Per A. - In: The review of financial studies 21 (2008) 6, pp. 2535-2563
Persistent link: https://www.econbiz.de/10003805074
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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...
Persistent link: https://www.econbiz.de/10011555743