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You sneeze, and the markets are paranoid : the fear, uncertainty and distress sentiments impact of the COVID-19 pandemic on the stock-bond correlation
Banerjee, Ameet Kumar - In: The journal of risk finance : JRF 23 (2022) 5, pp. 652-668
Persistent link: https://www.econbiz.de/10013454956
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Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density
Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - 2011
-price density estimation proposed by Ai͏̈t-Sahalia and Lo (1998). Bayes factors, Gaussian-component mixture density, Markov chain …
Persistent link: https://www.econbiz.de/10009406374
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Time-varying sparsity in dynamic regression models
Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 178 (2014) 2, pp. 779-793
Persistent link: https://www.econbiz.de/10010257660
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A Markov-switching regression model with non-Gaussian innovations : estimation and testing
De Angelis, Luca; Viroli, Cinzia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10011705723
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Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?
Auer, Benjamin R.; Rottmann, Horst - In: Journal of economics & business 103 (2019), pp. 61-79
Persistent link: https://www.econbiz.de/10012595359
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Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong; Chen, Cathy W. S.; Asai, Manabu - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
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The relationship between global wealth and happiness : an analytical study of returns and volatility spillovers
Nguyen Khac Quoc Bao; Van Le - In: Borsa Istanbul Review 21 (2021), pp. S80-S89
This paper explores the relationship between global wealth and happiness. We employ a bivariate generalized … autoregressive conditional heteroskedasticity framework for global wealth and happiness represented, respectively, by FTSE All …-World and Twitter's Daily Happiness Sentiment indexes from October 14, 2013 to December 31, 2019. We find that daily changes in …
Persistent link: https://www.econbiz.de/10012817718
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Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis : evidence from the Markov switching approach
Just, Małgorzata; Echaust, Krzysztof - In: Finance research letters 37 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012485169
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COVID-19 and stock returns : evidence from the Markov switching dependence approach
Bouteska, Ahmed; Sharif, Taimur; Abedin, Mohammad Zoynul - In: Research in international business and finance 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014279046
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On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Cremaschini, Alessandro; Punzón, Antonio; Martellucci, … - In: Applied economics 55 (2023) 32, pp. 3675-3688
Persistent link: https://www.econbiz.de/10014299197