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A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns
Huang, Yisu; Ma, Feng; Bouri, Elie; Huang, Dengshi - In: International review of financial analysis 87 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014460616
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Optimal strategies with option compensation under mean reverting returns or volatilities
Herzel, Stefano; Nicolosi, Marco - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 47-69
Persistent link: https://www.econbiz.de/10011993415
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Optimal feedback control of stock prices under credit risk dynamics
Shao, Jinghai; Mitra, Sovan; Karathanasopoulos, Andreas - In: Risk management decisions and value under uncertainty, (pp. 1285-1318). 2022
Persistent link: https://www.econbiz.de/10013342116
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Market integration and contagion
Bekaert, Geert; Harvey, Campbell R.; Ng, Angela - 2003
Persistent link: https://www.econbiz.de/10001738796
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Market integration and contagion
Bekaert, Geert; Harvey, Campbell R.; Ng, Angela - In: The journal of business : B 78 (2005) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10002827392
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Contagion between US and Asian Stock Markets
Yoo, Sung-Jin; Chung, Sang-Kuck - In: Journal of international trade & commerce 15 (2019) 5, pp. 57-75
Persistent link: https://www.econbiz.de/10012546742
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Co-movements and spillovers of oil and renewable firms under extreme conditions : new evidence from negative WTI prices during COVID-19
Corbet, Shaen; Goodell, John W.; Günay, Samet - In: Energy economics 92 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012520119
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Volatility spillover and international contagion of housing bubbles
Bago, Jean-Louis; Akakpo, Koffi; Rherrad, Imad; … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-14
This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between … the multivariate time-varying DCC-GARCH model. Third, we assess bubble contagion by estimating a non-parametric model of …'s housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan's real estate …
Persistent link: https://www.econbiz.de/10012622423
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Dynamics of contagion and spillover effects : further evidence from major equity markets
Shahani, Rakesh; Umar, Fahad - In: Praj̄nȧn : journal of social and management sciences 49 (2020) 2, pp. 161-184
Persistent link: https://www.econbiz.de/10012665862