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Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613
Persistent link: https://www.econbiz.de/10011485602
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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …
Persistent link: https://www.econbiz.de/10012042424
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The effects of globalization on firm's stock in the selected Asian countries
Haghi, Sepideh; Mostafavi, Sayed Mahdi; Behname, Mehdi - In: Atlantic review of economics : AROE 1 (2015), pp. 1-13
the stock market by using panel data in selected countries in Asia (Iran, Saudi Arabia, India, China, Singapore, Malaysia …
Persistent link: https://www.econbiz.de/10011307944
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New evidence on sources of leverage effects in individual stocks
Smith, Geoffrey Peter - In: The financial review : the official publication of the … 50 (2015) 3, pp. 331-340
Persistent link: https://www.econbiz.de/10011338155
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A random coefficient approach to the predictability of stock returns in panels
Westerlund, Joakim; Narayan, Paresh Kumar - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 605-664
Persistent link: https://www.econbiz.de/10011339261
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Oil price asymmetric effects : answering the puzzle in international stock markets
Ramos, Sofia B.; Veiga, Helena - In: Energy economics 38 (2013), pp. 136-145
Persistent link: https://www.econbiz.de/10009764598
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The effect of index option trading on stock market volatility in China : an empirical investigation
Wu, Kai; Liu, Yi; Feng, Weiyang - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-19
panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic …
Persistent link: https://www.econbiz.de/10013168752
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Credit rating downgrade risk on equity returns
Brakatsoulas, Periklis; Kukacka, Jiri - 2020
across several estimation methods. Panel Granger causality test results indicate that there indeed is a Granger … for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US …
Persistent link: https://www.econbiz.de/10012242861
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Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns
Galvão Júnior, Antônio Fialho; Juhl, Ted; … - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 211-243
Persistent link: https://www.econbiz.de/10011987759
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Market value volatility industrial corporations
Gander, James P. - In: Quantitative finance and economics 1 (2017) 4, pp. 403-410
Persistent link: https://www.econbiz.de/10012137847