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Measuring the effects of unconventional policies on stock market volatility

Lacava, Demetrio; Gallo, Giampiero M.; Otranto, Edoardo - 2020 - Prima edizione

Persistent link: https://www.econbiz.de/10012515678

On classifying the effects of policy announcements on volatility

Gallo, Giampiero M.; Lacava, Demetrio; Otranto, Edoardo - 2020 - Prima edizione

Persistent link: https://www.econbiz.de/10012515683

Measuring the Effects of Unconventional Policies on Stock Market Volatility

Lacava, Demetrio; Gallo, Giampiero M.; Otranto, Edoardo - 2020

As a response to the Great Recession, many central banks resorted to unconventional monetary policies, in the form of a balance sheet expansion. Our research aims at analyzing the impact of the ECB policies on stock market volatility in four Eurozone countries (France, Germany, Italy, and Spain)...

Persistent link: https://www.econbiz.de/10014352183

Smooth and abrupt dynamics in financial volatility : the MS-MEM-MIDAS

Scaffidi Domianello, Luca; Gallo, Giampiero M.; … - In: Oxford bulletin of economics and statistics 86 (2024) 1, pp. 21-43

Persistent link: https://www.econbiz.de/10014481332

Modeling the dependence of conditional correlations on market volatility

Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268

Persistent link: https://www.econbiz.de/10011691329

Extracting portfolio management strategies from volatility transmission models in regime-changing environments : evidence from GCC and global markets

Khalifa, Ahmed A. A.; Hammoudeh, Shawkat; Otranto, Edoardo - In: Economic modelling 41 (2014), pp. 365-374

Persistent link: https://www.econbiz.de/10010440698

Volatility spillovers in East Asian financial markets : a MEM-based approach

Engle, Robert F.; Gallo, Giampiero M.; Velucchi, Margherita - In: The review of economics and statistics 94 (2012) 1, pp. 221-233

Persistent link: https://www.econbiz.de/10009565360