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The relationship between credit default swap spreads and equity prices

Marzano, Michele; Dunn, Gary; Constantinou, Nick - In: Journal of risk 17 (2014/15) 1, pp. 3-28

Persistent link: https://www.econbiz.de/10010476254

International versus geographical risk diversification : cross country empirical evidence

Akdoğan, Haluk - In: ODTÜ gelişme dergisi / Orta Doǧu Teknik … 21 (1994) 2, pp. 175-196

Persistent link: https://www.econbiz.de/10001176171

Interrelations in market fears of U.S. and European equity markets

Sarwar, Ghulam - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012656989

Stale information, shocks and volatility

Gropp, Reint (contributor); Kadareija, Arjan (contributor) - 2007

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...

Persistent link: https://www.econbiz.de/10003435444

The intertemporal mechanics of European stock price momentum

Stork, Philip - In: Studies in economics and finance 28 (2011) 3, pp. 217-232

Persistent link: https://www.econbiz.de/10009426775

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

The present paper studies dependencies between European stock markets when returns are unusually large, using daily data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an...