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Business-cycle fluctuations and international equity correlations

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

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The term structure of interest rates in a sticky-price target zone model

Kempa, Bernd; Nelles, Michael; Pierdzioch, Christian - In: Journal of international money and finance 18 (1999) 5, pp. 817-834

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An analytical approximation of target zone exchange rate functions : the technique of collocation

Kempa, Bernd - In: Economics letters 57 (1997) 3, pp. 339-343

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Exchange rate target zones and stock price volatility

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Time-varying risk aversion and realized gold volatility

Demirer, Rıza; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: The North American journal of economics and finance : a … 50 (2019) 101048, pp. 1-16

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Forecasting the conditional distribution of realized volatility of oil price returns : the role of skewness over 1859 to 2023

Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - In: Finance research letters 58 (2023) 3, pp. 1-9

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Climate risk and the volatility of agricultural commodity price fluctuations : a prediction experiment

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Climate risks and stock market volatility over a century in an emerging market economy : the case of South Africa

Wu, Kejin; Karmakar, Sayar; Gupta, Rangan; Pierdzioch, … - 2023

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Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns : The Role of Skewness Over 1859 to 2023

Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - 2023

We examine the predictive value of expected skewness of oil returns for the realized volatility using monthly data from 1859:11 to 2023:04. We utilize a quantile predictive regression model, which is able to accommodate nonlinearity and structural breaks. In-sample results show that the...

Persistent link: https://www.econbiz.de/10014353168