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The volatility spillover from the market to disaggregated industry stocks : the case for the US and UK

Moore, Tomoe - 2009

Persistent link: https://www.econbiz.de/10003898744

The volatility spillover from the market to disaggregated industry stocks : the case for the US and UK

Moore, Tomoe - In: International journal of business and economics 10 (2011) 1, pp. 61-68

Persistent link: https://www.econbiz.de/10009309712

The Volatility Spillover from the Market to Disaggregated Industry Stocks : The Case for the US and UK

Moore, Tomoe - 2011

This article empirically investigates the volatility spillover of stock returns from the market to disaggregated industry sectors. Seventeen sectors from the US and UK stock markets are estimated by the GARCH technique based on daily data from 1973 to 2008. The key findings are two-fold. In the...

Persistent link: https://www.econbiz.de/10013119767

Real convergence and the EU accession countries : a new perspective on real interest parity

Holmes, Mark J.; Wang, Ping - In: Journal of emerging market finance 7 (2008) 3, pp. 215-236

Persistent link: https://www.econbiz.de/10003815256

Oil price shocks and the asymmetric adjustment of UK output : a Markov-switching approach

Holmes, Mark J.; Wang, Ping - In: International review of applied economics 17 (2003) 2, pp. 181-192

Persistent link: https://www.econbiz.de/10001785274

Regime shifts in European real interest rates

Mills, Terence C.; Wang, Ping - In: Review of world economics 139 (2003) 1, pp. 66-81

Persistent link: https://www.econbiz.de/10001763031

Estimating the permanent and transitory components of the UK business cycle

Mills, Terence C.; Wang, Ping - In: Economic issues 8 (2003) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10001742547

Multivariate Markov switching common factor models for the UK

Mills, Terence C.; Wang, Ping - In: Bulletin of economic research 55 (2003) 2, pp. 177-193

Persistent link: https://www.econbiz.de/10001748816

Dynamic effects of financial intermediation over the business cycle

Lehr, Carol Scotese; Wang, Ping - In: Economic inquiry : journal of the Western Economic … 38 (2000) 1, pp. 34-57

Persistent link: https://www.econbiz.de/10001464689

Relative price variability and inflation uncertainty : the UK case

Wang, Peijie; Wang, Ping; Topham, Neville - In: Applied economics 31 (1999) 12, pp. 1531-1539

Persistent link: https://www.econbiz.de/10001465652