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The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
El Din, Tarek Mohy - 1997
Persistent link: https://www.econbiz.de/10000623956
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Estimating and predicting multivariate volatility thresholds in global stock markets
Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369
Persistent link: https://www.econbiz.de/10003316303
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The modelling of stock returns conditionally to the classes of volatility of the French market
Ellouz, Siwar - In: International journal of managerial and financial accounting 1 (2008/09) 3, pp. 248-267
Persistent link: https://www.econbiz.de/10003863694
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Modeling time-varying volatility in financial returns : evidence from the bond markets
Amado, Cristina; Laakkonen, Helinä - In: Essays in nonlinear time series econometrics, (pp. 139-160). 2014
Persistent link: https://www.econbiz.de/10010385311
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Stocks and bonds during the gold standard
Le Bris, David; Rezaee, Amir - In: Economics letters 159 (2017), pp. 119-122
Persistent link: https://www.econbiz.de/10011903450
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Does the equity premium puzzle persist during financial crisis? : the case of the French equity market
Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866
Persistent link: https://www.econbiz.de/10011912395
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Range-based and GARCH volatility estimation : evidence from the French asset market
Benlagha, Noureddine; Chargui, Sana - In: Global finance journal 32 (2017), pp. 149-165
Persistent link: https://www.econbiz.de/10011802868
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Volatility spillover between Germany, France, and CEE stock markets
Chirilă, Viorica; Chirilă, Ciprian - In: Journal of business economics and management 23 (2022) 6, pp. 1280-1298
financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …
Persistent link: https://www.econbiz.de/10013500945
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Oil volatility and the option value of waiting : an analysis of the G-7
Bredin, Donal; Elder, John; Fountas, Stilianos - 2010
There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay investment. These models are...
Persistent link: https://www.econbiz.de/10008810161
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Oil volatility and the option value of waiting : an analysis of the G-7
Bredin, Donal; Elder, John; Fountas, Stilianos - In: The journal of futures markets 31 (2011) 7, pp. 679-702
Persistent link: https://www.econbiz.de/10009009212