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Terror attacks and stock-market fluctuations : evidence based on a nonparametric causality-in-quantiles test for the G7 countries

Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian; … - In: The European journal of finance 24 (2018) 4/6, pp. 333-346

Persistent link: https://www.econbiz.de/10012244323

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg (contributor); Hartmann, Daniel (contributor); … - 2006

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we … used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is … that the statistical and economic value of volatility forecasts based on real-time data is comparable to the value of …

Persistent link: https://www.econbiz.de/10003315444

Do banks' buy and sell recommendations influence stock market volatility? : evidence from the German DAX30

Hendriks, Torben W.; Kempa, Bernd; Pierdzioch, Christian - In: The European journal of finance 18 (2012) 1/2, pp. 29-39

Persistent link: https://www.econbiz.de/10009565257

Forecasting stock market volatility with macroeconomic variables in real time

Pierdzioch, Christian; Döpke, Jörg; Hartmann, Daniel - In: Journal of economics & business 60 (2008) 3, pp. 256-276

Persistent link: https://www.econbiz.de/10003749133

Brokers and business cycles: does financial market volatility cause real fluctuations?

Döpke, Jörg; Pierdzioch, Christian - In: Kredit und Kapital 34 (2001) 3, pp. 327-355

Persistent link: https://www.econbiz.de/10001623779

Stock market volatility - has it increased and should we care?

Döpke, Jörg; Pierdzioch, Christian - In: IFO-Studien : Zeitschrift für empirische … 46 (2000) 3, pp. 301-314

Es wird untersucht, ob die Volatilität der Aktienmärkte im Zeitablauf zugenommen hat. Im Gegensatz zu oft geäußerten Vermutungen ergibt die Schätzung und die Prüfung von Modellen bedingter Varianzen lediglich sehr schwache Hinweise auf eine gestiegene Variabilität der Kurse. Probit...

Persistent link: https://www.econbiz.de/10001543582