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Canadian stock market volatility under COVID-19

Xu, Dinghai - 2020

Persistent link: https://www.econbiz.de/10012211693

Canadian stock market volatility under COVID-19

Xu, Dinghai - In: International review of economics & finance : IREF 77 (2022), pp. 159-169

Persistent link: https://www.econbiz.de/10013330750

Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India

Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111

Persistent link: https://www.econbiz.de/10010511544

The asymmetric impact of macroeconomic shocks on stock returns in Turkey : a nonlinear ARDL approach

Yacouba, Kassouri; Altintas, Halil - In: Romanian journal of economic forecasting 22 (2019) 2, pp. 98-116

Persistent link: https://www.econbiz.de/10012129032

Oil price shocks and stock returns nexus for Malaysia : fresh evidence from nonlinear ARDL test

Al-hajj, Ekhlas; Al-Mulali, Usama; Solarin Sakiru Adebola - In: Energy reports 4 (2018), pp. 624-637

In this research, we examined whether appreciation and depreciation in oil price, interest rate, exchange rate, industrial production, and inflation have the same effects on the stock market returns by using nonlinear autoregressive distributed lag (nonlinear ARDL). All nine economic sectors and...

Persistent link: https://www.econbiz.de/10011959478

Semiparametric estimates of monetary policy effects : string theory revisited

Angrist, Joshua D.; Jordà, Òscar; Kuersteiner, Guido M. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 371-387

Persistent link: https://www.econbiz.de/10012249147

COVID-19 pandemic and Romanian stock market volatility : a GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April … 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest … GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares …

Persistent link: https://www.econbiz.de/10012626337

The impact of firm-specific public news on intraday market dynamics : evidence from the Turkish stock market

Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging markets finance & trade : a journal of the … 47 (2011) 6, pp. 99-119

Persistent link: https://www.econbiz.de/10009563064

Identifying shocks via time-varying volatility

Lewis, Daniel J. - In: The review of economic studies : RES 88 (2021) 6, pp. 3086-3124

Persistent link: https://www.econbiz.de/10012694492

Identifying shocks via time-varying volatility

Lewis, Daniel J. - 2018

An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the residual covariance across time if the structural shocks exhibit heteroskedasticity (Rigobon (2003), Sentana and Fiorentini (2001)). However, the path of residual covariances is...

Persistent link: https://www.econbiz.de/10011926201

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