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Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets
Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86
In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …
Persistent link: https://www.econbiz.de/10011964941
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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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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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MIFID, French Equity Markets Fragmentation and Intraday Volatilities : A Network Analysis
Bastidon, Cécile - 2018
FIDESSA. In accordance with the market microstructure literature stating that fragmentation affects volatility at the …
Persistent link: https://www.econbiz.de/10012928878
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Models of financial integration : the experience of the Baltics and Central Eastern Europe
Vinhas de Souza, Lúcio - 2021
Building on Vinhas de Souza (and Vinhas de Souza and Tudela), this chapter briefly describes the historical process of financial liberalization and integration of Baltic and Central European Countries (BCECs) since the 1990s. It investigates the hypotheses that the type of financial integration...
Persistent link: https://www.econbiz.de/10012653253
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Time-varying long-range dependence in stock market returns and financial market disruptions : a case of eight European countries
Dajcman, Silvo - In: Applied economics letters 19 (2012) 10/12, pp. 953-957
Persistent link: https://www.econbiz.de/10009633132
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Intraday volatility spillovers among European financial markets during COVID-19
Aslam, Faheem; Ferreira, Paulo; Mughal, Khurrum Shahzad; … - In: International Journal of Financial Studies : open … 9 (2021) 1/5, pp. 1-19
During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across … markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of … Diebold and Yilmaz, we use static and rolling windows to characterize five-minute volatility spillovers. Our results show that …
Persistent link: https://www.econbiz.de/10012422559
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The dynamics of price jumps in the stock market : an empirical study on Europe and U.S.
Ferriani, Fabrizio; Zoi, Patrick - In: The European journal of finance 28 (2022) 7, pp. 718-742
Persistent link: https://www.econbiz.de/10013373314
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CDS and equity markets' volatility linkages : lessons from the EMU crisis
Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1259-1281
Persistent link: https://www.econbiz.de/10014291804
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Long Live Day of the Week Patterns and the Financial Trends’ Role. Evidence from the Greek Stock Market during the Euro Era (2002-12)
Vasileiou, Evangelos - 2017
The main objective of this study is to examine if the long term financial trends influence not only a stock market's returns, but also the day of the week pattern (DOW). In order to examine the specific issue we try to find a financial market which: (i) presents clear and long-term financial...
Persistent link: https://www.econbiz.de/10012973889