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The stock market response to a "regulatory sine curve"

Sun, Bo; Tam, Xuan Song; Young, Eric R. - 2020

Persistent link: https://www.econbiz.de/10012438975

Focardi, Sergio M.; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 183-195

Persistent link: https://www.econbiz.de/10011509826

Realizing stock market crashes : stochastic cusp catastrophe model of returns under time-varying volatility

Barunik, Jozef; Kukacka, Jiri - 2014

This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market … periods. While we find that the stock markets showed signs of bifurcation in the first half of the period, catastrophe theory … that the proposed methodology provides an important shift in the application of catastrophe theory to stock markets. …

Persistent link: https://www.econbiz.de/10010407518

Extreme asymmetric volatility : stress and aggregate asset prices

Aboura, Sofiane; Wagner, Niklas F. - In: Journal of international financial markets, … 41 (2016), pp. 47-59

Persistent link: https://www.econbiz.de/10011475918

Non Predictable Stock Market Declines

Ziemba, William T. - 2016

I have used four measures that have had considerable success in predicting stock market declines of ten percent or more and average twenty-five percent. Other declines of 5-15% seem to be hard to predict ex ante, while some can be explained ex post. In this paper, I focus on six of the latter...

Persistent link: https://www.econbiz.de/10013000628

Financial Crises and the Dynamic Linkages between Stock and Bond Returns

Eraslan, Sercan - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10012953399

Asset Pricing, Spatial Linkages and Contagion in Real Estate Stocks

Milcheva, Stanimira - 2017

Although spatial techniques have been used to capture the spillovers in asset returns across different regions, they have not yet been applied in an asset pricing context. Combining asset pricing models and equilibrium spatial models can be a good way to disentangle spillover effects across...

Persistent link: https://www.econbiz.de/10012968043

Dynamics of contagion and spillover effects : further evidence from major equity markets

Shahani, Rakesh; Umar, Fahad - In: Praj̄nȧn : journal of social and management sciences 49 (2020) 2, pp. 161-184

Persistent link: https://www.econbiz.de/10012665862

Realizing stock market crashes : stochastic cusp catastrophe model of returns under the time-varying volatility

Baruník, Jozef; Kukačka, Jiří - 2013

This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market … the period stock markets showed marks of bifurcations, in the second half catastrophe theory was not able to confirm this … behavior. Results suggest that the proposed methodology provides an important shift in application of catastrophe theory to …

Persistent link: https://www.econbiz.de/10010206135

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

Persistent link: https://www.econbiz.de/10012486245

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