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Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit
Guidolin, Massimo; Pedio, Manuela - 2020
Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly FTSE 100 stock returns. We find that versions of...
Persistent link: https://www.econbiz.de/10012487265
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Predictability in Implied Volatility Surfaces : Evidence from the Euro OTC FX Market
Chalamandaris, George - 2014
Recent general equilibrium models prescribe predictable dynamics in the volatility surfaces that are implied by … volatilities from over-the-counter options on eight different currencies, quoted against the Euro. We examine implied volatility … volatility trading strategies in the absence of transaction costs. Comparing across competing models, our results suggest that …
Persistent link: https://www.econbiz.de/10013066121
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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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Size and Value Premium in International Portfolios : Evidence from 15 European Countries
Afzal, Ayesha; Mirza, Nawazish - 2021
The current study evaluates the performance of the Fama and French three-factor model in a global setting with stocks selected from 15 European countries. We employed the multivariate regression approach after sorting six portfolios according to size and book-to-market. The constituent stocks...
Persistent link: https://www.econbiz.de/10013218462
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Flight-to-Safety and the Risk-Return Trade-Off : European Evidence
Aslanidis, Nektarios - 2019
This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight-to-safety episodes strengthen the negative trade-off. The...
Persistent link: https://www.econbiz.de/10012900712
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Investor sentiment and the mean-variance relationship : European evidence
Wang, Wenzhao - In: Research in international business and finance 46 (2018), pp. 227-239
Persistent link: https://www.econbiz.de/10011983623
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Moment risk premia and the cross-section of stock returns in the European stock market
Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Journal of banking & finance 111 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012221095
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Expected Downside Risk and Asset Prices : Characteristics of Emerging and Developed European Markets
Ormos, Mihály - 2016
This paper discusses an empirical analysis of the Expected Downside Risk (EDR) based asset-pricing model on Central and Eastern European and Developed Western European markets. The investigated risk measure applies a nonparametric approach that allows getting rid of any assumption on the...
Persistent link: https://www.econbiz.de/10012986565
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Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc - 2017
We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index …
Persistent link: https://www.econbiz.de/10012956776
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Multivariate Volatility Modeling of Electricity Futures : Online Appendix
Bauwens, Luc - 2017
Online Appendix to "MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES".Full paper available at: 'https …
Persistent link: https://www.econbiz.de/10012956777