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Return and volatility connectedness and net directional patterns in spillover transmissions : East and Southeast Asian equity markets

Mateus, Cesario; Bagirov, Miramir; Mateus, Irina Bezhentseva - In: International review of finance : the official journal … 24 (2024) 1, pp. 83-103

Persistent link: https://www.econbiz.de/10014507516

Do jumps matter in both equity market returns and integrated volatility : a comparison of Asian developed and emerging markets

Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies : open access journal 9 (2021) 2, pp. 1-26

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to...

Persistent link: https://www.econbiz.de/10012548334

Does volatility transmission between stock market returns of Central and Eastern European countries vary from normal to turbulent periods?

Ngo Thai Hung - In: Acta oeconomica : periodical of the Hungarian Academy … 70 (2020) 3, pp. 449-468

Persistent link: https://www.econbiz.de/10012438044

Another look at momentum crashes : momentum in the European Monetary Union

Grobys, Klaus - In: Applied economics 48 (2016) 19/21, pp. 1759-1766

Persistent link: https://www.econbiz.de/10011589714

Long memory in returns and integration : the case of emergent stock markets

Todea, Anita - In: Review of economic studies and research Virgil Madgearu 11 (2018) 1, pp. 97-113

Persistent link: https://www.econbiz.de/10011977829

Econometric analysis of integration of selected new eu member cee stock markets with global stock market and eurozone : impact of global financial crisis

Sucháček, Jan; Koutský, Jaroslav; Caridad y López … - In: Amfiteatru economic : an economic and business research … 23 (2021) 58, pp. 824-842

The period of the global financial crisis can be characterized by the spillover of negative innovations among stock markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets. Recently published scientific studies dealing with this...

Persistent link: https://www.econbiz.de/10012939609