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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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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
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Reexamining time-varying bond risk premia in the post-financial crisis era
Zhang, Han; Fan, Xiaoyun; Guo, Bin; Zhang, Wei - In: Journal of economic dynamics & control 109 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012314108
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Time-varying evidence of predictability of financial stress in the United States over a century : the role of inequality
Balcilar, Mehmet; Berisha, Edmond; Gupta, Rangan; … - In: Structural change and economic dynamics : SC+ED 57 (2021), pp. 87-92
Persistent link: https://www.econbiz.de/10012648494
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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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Testing for "moral hazard" in emerging markets lending
1999
Persistent link: https://www.econbiz.de/10001500372
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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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Nutzung von Informationsineffizienzen für Zeitreihenprognosen zum Credit-Default-Swap-Markt
Bußmann, Philip - 2016
Persistent link: https://www.econbiz.de/10011454959
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Regime-dependent sovereign risk pricing during the euro crisis
Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016
panel smooth threshold regression model quantify and explain them: 1) investors have penalized a deterioration of …
Persistent link: https://www.econbiz.de/10011974869