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Non-parametric analysis of equity arbitrage
Vortelinos, Dimitrios I. - In: International review of economics & finance : IREF 33 (2014), pp. 199-216
Persistent link: https://www.econbiz.de/10010532732
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Econometric analysis of international financial markets
Dimpfl, Thomas - 2010
Persistent link: https://www.econbiz.de/10008856799
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Stock market integration and volatility spillovers : new evidence from Asia-Pacific and European markets
Guru, Biplab Kumar; Yadav, Inder Sekhar - In: The journal of risk finance : JRF 24 (2023) 2, pp. 186-211
Persistent link: https://www.econbiz.de/10014232423
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Central and Eastern European stock exchanges under stress : a range-based volatility spillover framework
Demiralay, Sercan; Bayraci, Selçuk - In: Finance a úvěr 65 (2015) 5, pp. 411-430
Persistent link: https://www.econbiz.de/10011347940
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Nonlinear decomposition analysis of risk aversion and stock-holding behaviour of US households
Kabir, M. Humayun; Shakur, Shamim - In: Applied financial economics 24 (2014) 7/9, pp. 495-503
Persistent link: https://www.econbiz.de/10010401955
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Macroeconomic link to Indian capital market : a post-liberalization evidence
Ray, Hirak; Sarkar, Joy - In: Modern economy 5 (2014) 4, pp. 272-288
Persistent link: https://www.econbiz.de/10010412793
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Does bilateral market and financial integration explains international co-movement patterns
Ur Rehman, Mobeen; Shah, Syed Muhammad Amir - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-13
constructed international co-movement index through rolling beta estimation. Market integration variable between these two … distributed lag (ARDL) estimation. ARDL estimation is applied due to different stationarity levels of the included variables. The …
Persistent link: https://www.econbiz.de/10011474476
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Inside spreads vs. individual dealer spreads : components of the bid-ask spread in the German equity market
Schmidt, Hartmut; Treske, Kai - In: German financial markets and institutions: selected studies, (pp. 205-223). 2002
Persistent link: https://www.econbiz.de/10001705556
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Why Does the Fed React to the Stock Market Changes? : A Covariance Decomposition Analysis
Tas, Bedri Kamil Onur - 2011
This paper investigates the factors that affect the covariance between the federal funds rate and stock returns. I estimate a VAR system and implement covariance decomposition analysis. Most of the covariance between the federal funds rate and stock returns is affected by changes in stock market...
Persistent link: https://www.econbiz.de/10013125852
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Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
Umutlu, Mehmet; Bengitöz, Pelin; Zaremba, Adam - In: Applied economics 53 (2021) 54, pp. 6213-6230
Persistent link: https://www.econbiz.de/10012650394