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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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Equity price dynamics before and after the introduction of the euro : a note
Cheung, Yin-Wong; Westermann, Frank - 2001
volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However …
Persistent link: https://www.econbiz.de/10011397990
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Equity price dynamics before and after the introduction of the Euro : a note
Cheung, Yin-Wong; Westermann, Frank - 2001
volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However …
Persistent link: https://www.econbiz.de/10010440968
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Equity Price Dynamics Before and after the Introduction of the Euro : A Note
Cheung, Yin-Wong - 2016
volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However …
Persistent link: https://www.econbiz.de/10013004307
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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …
Persistent link: https://www.econbiz.de/10013348418
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...
Persistent link: https://www.econbiz.de/10009725481
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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
Financial market volatility is an important element when setting up port- folio management strategies, option pricing … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …
Persistent link: https://www.econbiz.de/10011306093
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International Stock Return Differentials and Real Exchange Rate Changes
Malliaropulos, Dimitris - 2022
This article investigates the link between international stock return differentials relative to the US and deviations from relative Purchasing Power Parity. Assuming that the real exchange rate and the relative stock price between two countries contain both permanent and temporary components, we...
Persistent link: https://www.econbiz.de/10013491880
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The forecasting performance of German stock option densities
Craig, Ben R.; Glatzer, Ernst; Keller, Joachim; … - 2003
In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...
Persistent link: https://www.econbiz.de/10011432259
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Modeling asset returns : a comparison of theoretical and empirical models
Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001945539