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Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period
Laborde, David; Rey, Serge - Volkswirtschaftliche Fakultät, … - 2001
(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …
Persistent link: https://www.econbiz.de/10009643213
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Stock Market Integration Between Malaysia and its Major Trading Partners (1994-2002)
KARIM, Mohd Zaini Abd; GEE, Chan Sok - In: Applied Econometrics and International Development 6 (2006) 3
addition, there is a bi-directional relationship between Malaysia and the stock markets in Hong Kong and Thailand. The short … after the financial crisis. Such finding is highly attributable to the fact that Malaysia’s imposition of capital control in …
Persistent link: https://www.econbiz.de/10005062991
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The Financial Crisis in Japan – Are There Similarities to the Current Situation?
Mayr, Johannes - In: CESifo Forum 9 (2008) 4, pp. 64-68
Persistent link: https://www.econbiz.de/10004998593
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On the links between stock and commodity markets' volatility
Joëts, Marc; Mignon, Valérie; Creti, Anna - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10010992390
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On the links between stock and commodity markets' volatility
Creti, Anna; Joëts, Marc; Mignon, Valérie - Université Paris-Dauphine (Paris IX) - 2013
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10011265523
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On the links between stock and commodity markets' volatility
Creti, Anna; Joëts, Marc; Mignon, Valérie - Centre d'études prospectives et d'informations … - 2012
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10010604039
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A multi-horizon scale for volatility
Subbotin, Alexander - HAL - 2008
We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …
Persistent link: https://www.econbiz.de/10010750636
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On the links between stock and commodity markets' volatility
Creti, Anna; Joëts, Marc; Mignon, Valérie - In: Energy Economics 37 (2013) C, pp. 16-28
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10011039549
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A multi-horizon scale for volatility.
Subbotin, Alexander - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …
Persistent link: https://www.econbiz.de/10005510612
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Aktienprognosen zur Portfolio-Optimierung
Marx, Stefan - 1996
Persistent link: https://www.econbiz.de/10004309592