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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
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Intra-day realized volatility for European and USA Stock indices
Degiannakis, Stavros; Floros, Christos - In: Global finance journal 29 (2016), pp. 24-41
Persistent link: https://www.econbiz.de/10011714562
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System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
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Large and small cap stocks in Europe : covariance asymmetry, volatility spillovers and beta estimates
Chuliá, Helena; Torró, Hipòlit - In: Advances in risk management, (pp. 327-352). 2007
Persistent link: https://www.econbiz.de/10003401630
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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The variance premiums' responses to the ECB monetary announcements
Chebbi, Tarek; Hmedat, Waleed - In: International journal of trade and global markets 17 (2023) 1, pp. 51-63
Persistent link: https://www.econbiz.de/10014287205
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On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices
Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267
Persistent link: https://www.econbiz.de/10011498510
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Euro conversion and return dynamics of European financial markets : a frequency domain approach
Grossmann, Axel; Giudici, Emiliano; Simpson, Marc W. - In: Journal of economics and finance 38 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010388029
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Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study
Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90
Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …
Persistent link: https://www.econbiz.de/10012695346
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Brexit and the dependence structure among the G7 bank equity markets
Nekhili, Ramzi; Giannopoulos, Kostas - In: Investment management and financial innovations 17 (2020) 2, pp. 231-239
Persistent link: https://www.econbiz.de/10012303143