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Volatility Transmission and Changes in Stock Market Interdependence in the European Community
Bellotti, Xijuan Angel - 2010
has on the next day returns in other markets. We quantify the sources of volatility transmission as price changes and … are tend to be transmitted more through noise than price changes though volatility transmission between Germany, Europe …
Persistent link: https://www.econbiz.de/10013138214
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Linkages between European National Stock Markets During Trading and Non-Trading Hours
Doman, Małgorzata - 2020
The paper documents differences in the structures of dependence between stock markets during trading and non-trading hours. We study this issue on the basis of analysis of the dynamic dependence between five selected European stock markets during the period from 1997 to the beginning of 2013....
Persistent link: https://www.econbiz.de/10012856559
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Regional and Inter-Regional Financial Integration : ASEM Equity Markets
Jaccob, Dina - 2014
The first Asia-Europe Meeting (ASEM) Summit in 1996 has provided the principal multilateral platform for interregional cooperation between the European and Asian countries. This book examines the equity market integration among 49 ASEM members both in EU and Asia, and to investigate whether such...
Persistent link: https://www.econbiz.de/10013049408
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Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility … has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always …
Persistent link: https://www.econbiz.de/10010383808
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Macro news and stock returns in the euro area : a VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10010399794
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Macro news and bond yield spreads in the Euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010417491
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Macro news and bond yield spreads in the euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010417494
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Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis
Caporale, Guglielmo Maria - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10013048822
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Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis
Caporale, Guglielmo Maria - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10013050104
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A Euro Area Term Structure Model with Time Varying Exposures
Tornese, Tommaso - 2023
for stochastic volatility both at the regional and country specific level. Despite the share of national variance …
Persistent link: https://www.econbiz.de/10014356030