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Asymmetries in the conditional mean and the conditional variance : evidence from nine stock markets
Koutmos, Gregory - In: Journal of economics & business 50 (1998) 3, pp. 277-290
Persistent link: https://www.econbiz.de/10001243160
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Calendar cycles, infrequent decisions and the cross-section of stock returns
Jagannathan, Ravi; Takehara, Hitoshi; Wang, Yong - 2007
Persistent link: https://www.econbiz.de/10003681335
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Non-linear predictability of stock market returns : comparative evidence from Japan and the US
Humpe, Andreas; Macmillan, Peter - In: Investment management and financial innovations 11 (2014) 4, pp. 36-48
Persistent link: https://www.econbiz.de/10010514142
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Oil shock transmission to stock market returns : wavelet-multivariate Markov switching GARCH approach
Jammazi, Rania - In: Energy : the international journal ; technologies, … 37 (2012) 1, pp. 430-454
Persistent link: https://www.econbiz.de/10009489042
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How do international stock markets respond to oil demand and supply shocks?
Güntner, Jochen - In: Macroeconomic dynamics 18 (2014) 8, pp. 1657-1682
Persistent link: https://www.econbiz.de/10010467907
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Oil Shock Transmission to Stock Market Returns : Wavelet-Multivariate Markov Switching GARCH Approach
Jammazi, Rania - 2011
developed countries (USA, UK, Japan, Germany and Canada). First, we analyze whether shocks and or volatility emanating from two …
Persistent link: https://www.econbiz.de/10013132614
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Volume and the Nonlinear Dynamics of Stock Returns
Hsu, Chiente - 1998
This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns and trading volume implied by the model can explain...
Persistent link: https://www.econbiz.de/10013519390
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Are the Fama and French factors global or country specific?
Griffin, John M. - In: The review of financial studies 15 (2002) 3, pp. 783-803
Persistent link: https://www.econbiz.de/10001688871
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Asymmetrical reaction to US stock-return news : evidence from major stocks markets based on a double-threshold model
Chen, Cathy W. S.; Chiang, Thomas C.; So, Mike Ka-pui - In: Journal of economics & business 55 (2003) 5/6, pp. 487-502
Persistent link: https://www.econbiz.de/10001804355
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Covariance risk, consumption risk, and international stock market returns
Lee, Wai - In: The quarterly review of economics and finance : journal … 37 (1997) 2, pp. 491-510
Persistent link: https://www.econbiz.de/10001226132