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Structural breaks in volatility : the case of Chinese stock returns

Ni, Jinlan; Wohar, Mark E.; Wang, Beichen - In: The Chinese economy 49 (2016) 2, pp. 81-93

Persistent link: https://www.econbiz.de/10011619799

The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom : evidence from over 150 years of data

Gupta, Rangan; Wohar, Mark E. - In: Economics and Business Letters : EBL 8 (2019) 3, pp. 138-146

Persistent link: https://www.econbiz.de/10012156567

Volatility spillovers across the spot and futures oil markets after news announcements

Apostolakis, George N.; Floros, Christos; Gillas, … - In: The North American journal of economics and finance : a … 69 (2024) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014445527

Expected Returns and Expected Dividend Growth : Time to Rethink an Established Empirical Literature

Ma, Jun - 2014

This paper examines various state-space and VAR model specifications to investigate the contributions of expected returns and expected dividend growth to movements in the price-dividend ratio. We show that both models involve serious inference problems that need to be dealt with carefully. We...

Persistent link: https://www.econbiz.de/10013068462

Causality between trading volume and returns : evidence from quantile regressions

Ge̜bka, Bartosz; Wohar, Mark E. - In: International review of economics & finance : IREF 27 (2013), pp. 144-159

Persistent link: https://www.econbiz.de/10009740837

Commodity volatility breaks

Vivian, Andrew; Wohar, Mark E. - In: Journal of international financial markets, … 22 (2012) 2, pp. 395-422

Persistent link: https://www.econbiz.de/10009581694

Political uncertainty, COVID-19 pandemic and stock market volatility transmission

Apostolakis, George N.; Floros, Christos; Gillas, … - In: Journal of international financial markets, … 74 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012803182

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

Structural breaks in volatility : the case of UK sector returns

McMillan, David G.; Wohar, Mark E. - In: Applied financial economics 21 (2011) 13/15, pp. 1079-1093

Persistent link: https://www.econbiz.de/10009317435

Does economic policy uncertainty predict exchange rate returns and volatility? : evidence from a nonparametric causality-in-quantiles test

Balcilar, Mehmet; Gupta, Rangan; Kyei, Clement; Wohar, … - In: Open economies review 27 (2016) 2, pp. 229-250

Persistent link: https://www.econbiz.de/10011591762

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