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Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
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Downside and upside risk spillovers between exchange rates and stock prices
Reboredo, Juan Carlos; Rivera-Castro, Miguel A.; … - In: Journal of banking & finance 62 (2016), pp. 76-96
Persistent link: https://www.econbiz.de/10011634069
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Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates
Su, Jung-bin - In: The North American journal of economics and finance : a … 30 (2014), pp. 1-39
Persistent link: https://www.econbiz.de/10010463599
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Modelling stock price-exchange rate nexus in OECD countries : a new perspective
Salisu, Afees A.; Ndako, Umar Bida - In: Economic modelling 74 (2018), pp. 105-123
Persistent link: https://www.econbiz.de/10012101318
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Disentangling crashes from tail events
Aboura, Sofiane - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 206-219
Persistent link: https://www.econbiz.de/10011348417
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Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis
Naifar, Nader - In: Economic modelling 29 (2012) 2, pp. 119-131
Persistent link: https://www.econbiz.de/10009536052
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CDS and equity markets' volatility linkages : lessons from the EMU crisis
Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1259-1281
Persistent link: https://www.econbiz.de/10014291804
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Do macroeconomic volatilities affect stock price volatility in Pakistan? : an empirical assessment using firm-level data
Rashid, Abdul; Rauf, Rashid; Imran, Muhammad - In: Pakistan journal of applied economics : PJAE 32 (2022) 2, pp. 145-168
Persistent link: https://www.econbiz.de/10014449798
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Transmission of the financial and sovereign debt crisis to the EMU : stock prices, CDS spreads and exchange rates
Grammatikos, Theoharry; Vermeulen, Robert - 2011
Persistent link: https://www.econbiz.de/10008933535
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Transmission of the Financial and Sovereign Debt Crises to the EMU : Stock Prices, CDs Spreads and Exchange Rates
Vermeulen, Robert - 2011
This paper tests for the transmission of the 2007-2010 financial and sovereign debt crises to fifteen EMU countries. We use daily data from 2003 to 2010 on country financial and non-financial stock market indexes. First, we find strong evidence of crisis transmission to European non-financials...
Persistent link: https://www.econbiz.de/10013130545