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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …
Persistent link: https://www.econbiz.de/10011489480
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Jumps in stock prices : new insights from old data
Johnson, James A.; Medeiros, Marcelo C.; Paye, Bradley S. - In: Journal of financial markets 60 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013398004
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Central bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets : evidence from Poland
Brzeszczyński, Janusz; Gajdka, Jerzy; Kutan, Ali Mustafa - In: Argumenta oeconomica 39 (2017) 2, pp. 21-60
Persistent link: https://www.econbiz.de/10012284683
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Time-varying relationship of news sentiment, implied volatility and stock returns
Smales, Lee A. - In: Applied economics 48 (2016) 49/51, pp. 4942-4960
Persistent link: https://www.econbiz.de/10011641401
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404647
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Spatial tale of G-7 and BRICS stock markets during COVID-19 : an event study
Ledwani, Sanket; Chakraborty, Suman; Shenoy, Sandeep S. - In: Investment management and financial innovations 18 (2021) 2, pp. 20-36
Persistent link: https://www.econbiz.de/10012698109
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Mergers and acquisitions and market volatility of Brazilian banking stocks : an application of GARCH models
Pessanha, Gabriel Rodrigo Gomes; Bruhn, Nádia Campos … - In: Latin American business review : journal of the … 17 (2016) 4, pp. 333-357
Persistent link: https://www.econbiz.de/10011649372