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Volatility Risk and Stock Return Predictability on Global Financial Crises
Kongsilp, Worawuth - 2016
This paper investigates the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE)...
Persistent link: https://www.econbiz.de/10012999962
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Volatility risk and stock return predictability on global financial crises
Kongsilp, Worawuth; Mateus, Cesario - In: China finance review international 7 (2017) 1, pp. 33-66
Persistent link: https://www.econbiz.de/10011797740
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International crash risk premium
Chen, Steven Shu-Hsiu - In: Journal of international financial markets, … 94 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10015063171
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Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65
and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for …
Persistent link: https://www.econbiz.de/10011306093
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Disequilibria and contagion in financial markets : evidence from a new test
De Angelis, Luca; Gardini, Attilio - In: Journal of applied economics 18 (2015) 2, pp. 247-265
Persistent link: https://www.econbiz.de/10011554982
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Risk premia on Swiss government bonds and sectoral stock indexes during international crises
Nitschka, Thomas - In: Aussenwirtschaft : schweizerische Zeitschrift für … 67 (2016) 2, pp. 51-67
Persistent link: https://www.econbiz.de/10011603230
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Essays in macroeconomics and finance
Sydow, Matthias - 2009
Persistent link: https://www.econbiz.de/10003840762
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Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
Lleo, Sébastien; Ziemba, William T. - In: International journal of forecasting 31 (2015) 2, pp. 399-425
Persistent link: https://www.econbiz.de/10011474134
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Wann beginnt die Krise? : Ein Blick auf Finanzmarktrenditen
Locarek-Junge, Hermann; Straßberger, Mario; Wagner, … - In: Krisenkommunikation : 5. Dresdner Kolloquium an der …, (pp. 142-152). 2003
Persistent link: https://www.econbiz.de/10002063628
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CDS-bond basis and bond return predictability
Kim, Gi H.; Li, Haitao; Zhang, Weina - In: Journal of empirical finance 38 (2016), pp. 307-337
Persistent link: https://www.econbiz.de/10011664711