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Exchange-rate and news : evidence from the COVID pandemic
Aquilante, Tommaso; Di Pace, Federico; Masolo, Riccardo M. - In: Economics letters 213 (2022), pp. 1-3
Persistent link: https://www.econbiz.de/10013442144
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Volatility transmission within financial markets during the COVID-19 pandemic : are faith-based investors well off in Tunisia?
Mustapha Ishaq Akinlaso; Aroua Robbana; Nura Mohamed - In: Journal of Islamic accounting and business research 13 (2022) 1, pp. 98-113
Persistent link: https://www.econbiz.de/10012796778
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COVID-19 pandemic and stock market contagion : a wavelet-copula GARCH approach
Alqaralleh, Huthaifa; Canepa, Alessandra; Zanetti … - 2020
Persistent link: https://www.econbiz.de/10012387020
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Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market
López Herrera, Francisco; Santillán Salgado, Roberto … - In: Investigación económica : revista de la Faculdad de … 74 (2015), pp. 69-97
Persistent link: https://www.econbiz.de/10011562925
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Predicting future price volatility : empirical evidence from an emerging limit order market
Jain, Pawan; Jiang, Christine X. - In: Pacific-Basin finance journal 27 (2014), pp. 72-93
Persistent link: https://www.econbiz.de/10010499715
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Modelling financial transaction price movements : a dynamic integer count data model
Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825
Persistent link: https://www.econbiz.de/10003233759
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Information Asymmetric Effect on the Stock Return Volatility in Nigerian Capital Market
2016
Return-volume-volatility relationships are of common interest as they may unearth dependencies that can form the basis … asymmetric information effect on stock return volatility in Nigerian capital market using daily stock data of 40 equities listed … Nigerian Stock Exchange NSE. The study finds significant information asymmetric effect on stock return volatility in Nigerian …
Persistent link: https://www.econbiz.de/10012996292
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Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange
Gurgul, Henryk; Hastenteufel, Jessica; Wójtowicz, Tomasz - In: Statistics in transition : an international journal of … 22 (2021) 4, pp. 41-58
Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes...
Persistent link: https://www.econbiz.de/10012818165
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The asymmetric impact of macroeconomic shocks on stock returns in Turkey : a nonlinear ARDL approach
Yacouba, Kassouri; Altintas, Halil - In: Romanian journal of economic forecasting 22 (2019) 2, pp. 98-116
Persistent link: https://www.econbiz.de/10012129032
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Identification of global and local shocks in international financial markets via general dynamic factor models
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - In: Journal of financial econometrics 17 (2019) 3, pp. 462-494
Persistent link: https://www.econbiz.de/10012054816