Most studies for the monetary policy effect on stock markets have concentrated on using the primary index to proxy the stock market. The present paper, avoiding “aggregation bias”, seeks to unbundle the effect of monetary policy on the stock market in two ways. First, the non-linear model is...

This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...

Determining which variables afect price realized volatility has always been challenging. This paper proposes to explain how fnancial assets infuence realized volatility by developing an optimal day-to-day forecast. The methodological proposal is based on using the best econometric and machine...