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Determining what drives stock returns : proper inference is crucial ; evidence from the UK

Ma, Jun; Wohar, Mark E. - In: International review of economics & finance : IREF 33 (2014), pp. 371-390

Persistent link: https://www.econbiz.de/10010532715

The impact of oil prices on sectoral returns : an empirical analysis from Borsa Instanbul

Gencer, Gaye; Demiralay, Sercan - In: Theoretical and applied economics : GAER review 20 (2013) 12, pp. 7-24

Persistent link: https://www.econbiz.de/10010233263

What drives credit rating changes? : a return decomposition approach

Cho, Hyungjin; Choi, Sunhwa - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 899-931

Persistent link: https://www.econbiz.de/10011471121

The volatility connectedness between oil and stocks : evidence from the G7 markets

BenMabrouk, Houda - In: Financial Market Dynamics after COVID 19 : The …, (pp. 67-99). 2022

Persistent link: https://www.econbiz.de/10013198542

Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

Persistent link: https://www.econbiz.de/10012006352

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of … model makes full use of information embedded in the covariance matrix. Estimation results show that in two recent episodes …

Persistent link: https://www.econbiz.de/10012170580