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Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data
Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290
Persistent link: https://www.econbiz.de/10011348408
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Stock returns, real activity, and money : causality testing using a multiple hypothesis testing approach
Fletcher, Roy A. - In: Review of quantitative finance and accounting 3 (1993) 4, pp. 429-445
Persistent link: https://www.econbiz.de/10001154161
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Quadratic ARCH models
Sentana, Enrique - 1995
Persistent link: https://www.econbiz.de/10000924230
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Factor models of stock returns : GARCH errors versus time-varying betas
Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; … - In: Journal of forecasting 35 (2016) 5, pp. 445-461
Persistent link: https://www.econbiz.de/10011580985
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Stock prices, inflation and inflation uncertainty in the U.S. : testing the long-run relationship considering Dow Jones sector indexes
Albulescu, Claudiu Tiberiu; Aubin, Christian; Goyeau, Daniel - In: Applied economics 49 (2017) 18, pp. 1794-1807
Persistent link: https://www.econbiz.de/10011815423
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Terrorism and international stock returns
Narayan, Paresh Kumar; Narayan, Seema; Dinh Hoang Bach Phan - In: Journal of international financial markets, … 76 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013412765
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Revisiting the nexus of REITs returns and macroeconomic variables
Wu, Ming-Che; Wang, Chien-Ming - In: Finance research letters 59 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10014445407
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Inflation volatility and stock prices : evidence from ARCH effects
Alexakis, Panayotis - In: International advances in economic research : IAER ; an … 2 (1996) 2, pp. 101-111
Persistent link: https://www.econbiz.de/10001231912
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Co-movements of the Indian stock market
Sudhakar, Aare; Sireesha, P. Bhanu - In: GITAM journal of management : a quarterly publication … 13 (2015) 2, pp. 40-59
Persistent link: https://www.econbiz.de/10011398114
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Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India
Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111
Persistent link: https://www.econbiz.de/10010511544