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A copula approach to cross-market diversification
Bozovic, Milos; Karapandža, Raša; Urosevic, Branko - 2009
Persistent link: https://www.econbiz.de/10003818379
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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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Capital market response to emission allowance prices : a multivariate GARCH approach
Venmans, Frank - In: Environmental economics and policy studies 17 (2015) 4, pp. 577-620
This study assesses the impact of European emission allowances (EUA) prices on stock prices of all companies in the StoxxEurope Total Market Index belonging to sectors regulated by the European Union Emission Trading Scheme (EU ETS). The effect of allowance prices on stock prices is found to be...
Persistent link: https://www.econbiz.de/10011348877
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Return and volatility spillovers to industry returns : does EMU play a role?
Kaltenhäuser, Bernd - 2002
aggregate shocks. Volatility spillovers proved to be small and volatile. …
Persistent link: https://www.econbiz.de/10009767119
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European markets’ reactions to exogenous shocks : a high frequency data analysis of the 2005 London bombings
Kollias, Chrēstos; Papadamou, Stephanos; Siriopoulos, … - In: International Journal of Financial Studies : open … 1 (2013) 4, pp. 154-167
indicate that the volatility of stock market returns is increased in all cases examined. …
Persistent link: https://www.econbiz.de/10010243563
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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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Global contagion of market sentiment during the US subprime crisis
Lee, Yen-Hsien; Tucker, Alan L.; Wang, David K.; Pao, … - In: Global finance journal 25 (2014) 1, pp. 17-26
Persistent link: https://www.econbiz.de/10010400994
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Trading activity and liquidity supply in a pure limit order book market : an empirical analysis using a multivariate count data model
Grammig, Joachim; Heinen, Andréas; Rengifo, Erick W. - 2004
Persistent link: https://www.econbiz.de/10002390653
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Return and volatility spillovers to industry returns : does EMU play a role?
Kaltenhäuser, Bernd - 2002
Persistent link: https://www.econbiz.de/10001718829
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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