Similar Search Results

Monetary policy and asset valuation

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2018

Persistent link: https://www.econbiz.de/10011862029

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2018 - Revised: September 2018

Persistent link: https://www.econbiz.de/10011920700

Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA

Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017

Persistent link: https://www.econbiz.de/10011965722

Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting - 2016 - Revised: June, 2016

natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and … ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results … show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a …

Persistent link: https://www.econbiz.de/10011490999

The origins of stock market fluctuations

Greenwald, Daniel L.; Lettau, Martin; Ludvigson, Sydney C. - 2015

Persistent link: https://www.econbiz.de/10010482972

Capital share risk and shareholder heterogeneity in US stock pricing

Lettau, Martin; Ludvigson, Sydney C.; Ma, Sai - 2015

Persistent link: https://www.econbiz.de/10010482973

A mean variance king? : creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus; Hess, Dieter - 2001

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...

Persistent link: https://www.econbiz.de/10011446937

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10010391535

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Persistent link: https://www.econbiz.de/10000992362

Expected returns and expected dividend growth

Lettau, Martin; Ludvigson, Sydney C. - 2003

Persistent link: https://www.econbiz.de/10001752963