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Stock market reactions during different phases of the COVID-19 pandemic : cases of Italy and Spain
Keliuotyte-Staniuleniene, Greta; Kviklis, Julius - In: Economies : open access journal 10 (2022) 1, pp. 1-32
countries - Italy and Spain. To reach the aim of the research OLS regression models, heteroscedasticity-corrected models, GARCH … models (in the case of Spain) confirmed that the COVID-19 pandemic increased the volatility of stock market return. This …
Persistent link: https://www.econbiz.de/10012800500
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Incorporating correlation regimes in an integrated stressed risk modeling process
Aragonés, José R.; Blanco, Carlos - In: Journal of economics and finance 32 (2008) 2, pp. 148-157
Persistent link: https://www.econbiz.de/10003710731
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Volatility relationship between stock performance and real output
Ahn, Eun S.; Lee, Jin Man - In: Applied financial economics 16 (2006) 11, pp. 777-784
Persistent link: https://www.econbiz.de/10003350994
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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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Are international stock returns predictable? : An examination of linear and non-linear pridictability using generalized spectral tests
McPherson, Matthew Q.; Palardy, Joseph - In: Journal of international financial markets, … 17 (2007) 5, pp. 452-464
Persistent link: https://www.econbiz.de/10003609496
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Are international stock returns predictable? : An application of spectral shape tests corrected for heteroskedasticity
McPherson, Matthew Q.; Palardy, Joseph; Vilasuso, Jon R. - In: Journal of economics & business 57 (2005) 2, pp. 103-118
Persistent link: https://www.econbiz.de/10002767692
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Does the euro affect the dynamic interactions of stock markets in Europe? : Evidence from France, Germany and Italy
Westermann, Frank - In: The European journal of finance 10 (2004) 2, pp. 139-148
Persistent link: https://www.econbiz.de/10001982899
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The Mib30 index and futures relationship : econometric analysis and implications for hedging
Pattarin, Francesco; Ferretti, Riccardo - In: Applied financial economics 14 (2004) 18, pp. 1281-1289
Persistent link: https://www.econbiz.de/10002438188
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Interactions between business cycles, stock market cycles and interest rates : the stylised facts
Avouyi-Dovi, Sanvi; Matheron, Julien - In: Financial stability review : FSR (2003) 3, pp. 80-99
Persistent link: https://www.econbiz.de/10001897304
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European stock market dependencies when price changes are unusually large
Schich, Sebastian T. - In: Applied financial economics 14 (2004) 3, pp. 165-177
Persistent link: https://www.econbiz.de/10001915455