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Systematic mispricing in European equity prices?
Berneburg, Marian (contributor) - 2007
Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the …, constant dividend growth rates as well as non-variable discount rates. It is shown that indeed volatility declines considerably … cashflow ; excess volatility ; variance bound test ; rational expectations …
Persistent link: https://www.econbiz.de/10003482498
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The MAX effect : European evidence
Walkshäusl, Christian - In: Journal of banking & finance 42 (2014), pp. 1-10
Persistent link: https://www.econbiz.de/10010408454
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U.S., Anglo-Saxon European, and non-Anglo-Saxon European cash holdings around the financial crisis
Gonenc, Halit; Polten, Marc-Oliver; Westerman, Wim - In: Global finance journal 52 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013412550
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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
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Asymmetry effects in volatility on the the major European stock markets : the EGARCH based approach
Olbrys, Joanna; Majewska, Elzbieta - In: Quantitative finance and economics 1 (2017) 4, pp. 411-427
Persistent link: https://www.econbiz.de/10012137861
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The impact of the financial crisis on transatlantic information flows : an intraday analysis
Dimpfl, Thomas; Peter, Franziska Julia - 2014
We use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets. We are particularly interested in differences of information transmission before, during, and after the financial...
Persistent link: https://www.econbiz.de/10010240602
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How does the financial crisis affect volatility behavior and transmission among European stock markets?
Slimane, Faten Ben; Mehanaoui, Mohamed; Kazi, Irfan Akbar - In: International Journal of Financial Studies : open … 1 (2013) 3, pp. 81-101
behavior and interdependence through the study of the intraday volatility transmission. This paper investigates the patterns of …
Persistent link: https://www.econbiz.de/10010197481
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On the macro-drivers of realized volatility : the destabilizing impact of UK policy uncertainty across Europe
Karanasos, Menelaos; Yfanti, S. - In: The European journal of finance 26 (2020) 12, pp. 1146-1183
Persistent link: https://www.econbiz.de/10012264953
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Classifying returns as extreme : european stock and bond markets
Christiansen, Charlotte - In: International review of financial analysis 34 (2014), pp. 1-4
Persistent link: https://www.econbiz.de/10010520407
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The impact of the financial crisis on transatlantic information flows : an intraday analysis
Dimpfl, Thomas; Peter, Franziska Julia - In: Journal of international financial markets, … 31 (2014), pp. 1-13
Persistent link: https://www.econbiz.de/10011299363