is to unravel the mystery around the existing volatility spillovers among equity REITs. The econometric modelisation is … Barunik & Krehlik. Exchange-listed equity REITs have complex patterns of volatility since they are the nexus of two markets …

This paper investigates the return and volatility responses of major European and the US equity indices to monetary …

and volatility positively. Media pessimism does not only affect the crisis-hit Euro-zone periphery countries, but also …

This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day …. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday … data for 8 different stock market indices. Second, a range measure approximates volatility using daily prices from 11 …

model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests … in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing … correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase …