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Silvennoinen, Annastiina; Thorp, Susan - 2015

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Common risk factors and the macroeconomy : new evidence from the Japanese stock market

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Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...

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Are cryptocurrencies affected by their asset class movements or news announcements?

Gurrib, Ikhlaas; Kweh, Qian Long; Mohammad Nourani; … - In: Malaysian journal of economic studies 56 (2019) 2, pp. 201-225

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Structural breaks in volatility : the case of Chinese stock returns

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Market volatility transmission and central banking : what happened during the subprime crisis?

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Modeling time-varying correlations in volatility between BRICS and commodity markets

Kang, Sang Hoon; McIver, Ron; Yoon, Seong-min - In: Emerging markets finance & trade : a journal of the … 52 (2016) 7/9, pp. 1698-1723

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Information uncertainty and volatility in financial stock markets : commodity price fluctuations and business cycles

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On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes

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Commodity price volatility under regulatory changes and disaster

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A model of financialization of commodities

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