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The war on terror and its impact on the long-term volatility of financial markets
Fernández, Viviana - In: International review of financial analysis 17 (2008) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10003765173
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Consequences of the Russia-Ukraine war : evidence from DAX, ATX, and FTSEMIB
Aliu, Florin; Mulaj, Isa; Hašková, Simona - In: Studies in economics and finance 40 (2023) 3, pp. 549-568
Persistent link: https://www.econbiz.de/10014252635
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Average skewness in global equity markets
Atilgan, Yigit; Demirtas, K. Ozgur; Günaydin, A. Doruk; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 245-271
Persistent link: https://www.econbiz.de/10014326300
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The spline GARCH model for unconditional volatility and its global macroeconomic causes
Engle, Robert F.; Rangel, Jose Gonzalo - 2005
Persistent link: https://www.econbiz.de/10003331373
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The impact of uncertainty in the oil and gold market on the cross-section of stock returns
Bams, Dennis; Blanchard, Gildas; Honarvar, Iman; … - 2015
Persistent link: https://www.econbiz.de/10011547101
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
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A note on the time-series relationship between market industry concentration and market volatility
Xing, Xuejing - In: Journal of international financial markets, … 14 (2004) 2, pp. 105-115
Persistent link: https://www.econbiz.de/10001889079
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Sign- and volatility-switching ARCH models : theory and applications to international stock markets
Fornari, Fabio - In: Journal of applied econometrics 12 (1997) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10001215437
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The Long Memory of Equity Volatility and the Macroeconomy : International Evidence
Dräger, Lena - 2020
This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …
Persistent link: https://www.econbiz.de/10012853413
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Trend of oil prices, gold, GCC stocks market during Covid-19 pandemic : a wavelet approach
Rafiuddin, Aqila; Daffodils, Jennifer; Gaytan, Jesus … - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 4, pp. 560-572
Persistent link: https://www.econbiz.de/10012629887