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Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613
Persistent link: https://www.econbiz.de/10011485602
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Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83
studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …
Persistent link: https://www.econbiz.de/10012513279
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Predicting stock realized variance based on an asymmetric robust regression approach
Zhang, Yaojie; He, Mengxi; Zhao, Yuqi; Hao, Xianfeng - In: Bulletin of economic research 75 (2023) 4, pp. 1022-1047
Persistent link: https://www.econbiz.de/10014435626
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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
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Extreme dependence between crude oil and stock markets in Asia-Pacific regions : evidence from quantile regression
Zhu, Huiming; Huang, Hui; Peng, Cheng; Yang, Yan - 2016
This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...
Persistent link: https://www.econbiz.de/10011561029
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What drives dynamic comovements of stock markets in the Pacific Basin region? : a quantile regression approach
Lee, Hyunchul; Seung Mo Cho - In: International review of economics & finance : IREF 51 (2017), pp. 314-327
Persistent link: https://www.econbiz.de/10011754455
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Econometric Modelling of Stock Market Intraday Activity
Bauwens, Luc; Giot, Pierre - 2001
volatility and intraday Value-at-Risk. Although the models are applied to data for stock traded on the NYSE, they are not …
Persistent link: https://www.econbiz.de/10013521506
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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The dynamic relationship between investor attention and stock market volatility : international evidence
Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25
This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …
Persistent link: https://www.econbiz.de/10012821063
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The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic
Zhang, Yi; Zhou, Long; Chen, Yajiao; Liu, Fang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013449345