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Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness
Massacci, Daniele - In: Management science : journal of the Institute for … 63 (2017) 9, pp. 3072-3089
Persistent link: https://www.econbiz.de/10011749024
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Weather effects on stock returns and volatility in South Asian markets
Sheikh, Muhammad Fayyaz; Ali Shah, Syed Zulfiqar; … - In: Asia-Pacific financial markets 24 (2017) 2, pp. 75-107
Persistent link: https://www.econbiz.de/10011797611
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Distribution specific dependence and causality between industry-level U.S. credit and stock markets
Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Journal of international financial markets, … 52 (2018), pp. 114-133
Persistent link: https://www.econbiz.de/10011986230
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Average tail risk and aggregate stock returns
Dai, Yingtong; Harris, Richard D. F. - In: Journal of international financial markets, … 82 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014245903
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Impact of Weather on Return and Volatility : Evidence from Indian Stock Market
Narayanamoorthy, Vijayakumar - 2016
This study examines the impact of Weather factors on return and volatility of the Indian stock market. The study uses … in Chennai and the stock return volatility influenced by the temperature in Mumbai, Delhi and Kolkata … the daily data of top four metros and tests its impact on the return and volatility of S&P CNX Nifty index from January …
Persistent link: https://www.econbiz.de/10013004024
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Nonlinear effects of temperature on returns and investor optimism-pessimism from winner and loser stocks
Huang, Chai-liang; Sugianto, Lai Ferry; Yun, Mu Shu - In: Review of Pacific Basin financial markets and policies … 26 (2023) 1, pp. 1-76
Persistent link: https://www.econbiz.de/10014305133
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A comparison of tail behaviour of stock market returns
Echaust, Krzysztof - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 22-34
Persistent link: https://www.econbiz.de/10010518936
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Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...
Persistent link: https://www.econbiz.de/10011474619
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Lottery and bubble stocks and the cross-section of option-implied tail risks
Agarwalla, Sobhesh Kumar; Saurav, Sumit; Varma, Jayanth Rama - In: The journal of futures markets 42 (2022) 2, pp. 231-249
Persistent link: https://www.econbiz.de/10012817879
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard - 2016
Persistent link: https://www.econbiz.de/10012991280