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Price impact on term structure

Brigo, Damiano; Graceffa, Federico; Neuman, Eyal - In: Quantitative finance 22 (2022) 1, pp. 171-195

Persistent link: https://www.econbiz.de/10012872530

Realized skewness and the short-term predictability for aggregate stock market volatility

Zhang, Zhikai; He, Mengxi; Zhang, Yaojie; Wang, Yudong - In: Economic modelling 103 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013163911

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries, namely Bahrain, Oman, Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates, under different...

Persistent link: https://www.econbiz.de/10013272684

Bitcoin returns and risk : a general GARCH and GAS analysis

Troster, Victor; Tiwari, Aviral Kumar; Shahbaz, Muhammad; … - In: Finance research letters 30 (2019), pp. 187-193

Persistent link: https://www.econbiz.de/10012420417

Modeling and forecasting volatility of stock market using family of GARCH models : evidence from CPEC linked countries

Fraz, Tayyab Raza; Fatima, Samreen - In: Global economy journal : GEJ 22 (2022) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10013556985

Currency devaluation and stock market response : an empirical analysis

Patro, Dilip Kumar; Wald, John K.; Wu, Yangru - In: Journal of international money and finance 40 (2014), pp. 79-94

Persistent link: https://www.econbiz.de/10010240003

US stock market and macroeconomic factors

Jareño, Francisco; Negrut, Loredana - In: The journal of applied business research 32 (2016) 1, pp. 325-340

Persistent link: https://www.econbiz.de/10011436617

Determination of the sensitivity of stock index to macroeconomic and psychological factors by MARS method

Yıldız, Münevvere; Özdemir, Letife - In: Insurance and risk management for disruptions in …, (pp. 81-105). 2022

Persistent link: https://www.econbiz.de/10013191571

A generalized autoregressive conditional heteroskedasticity model of the impact of macroeconomic factors on stock returns : empirical evidence from the Nigerian stock market

Nkoro, Emeka; Uko, Aham Kelvin - In: International journal of financial research 4 (2013) 4, pp. 38-51

Persistent link: https://www.econbiz.de/10010205752

Does the sentiment of investors explain differences between predicted and realized stock prices?

Spilioti, Stella N. - In: Studies in economics and finance 33 (2016) 3, pp. 403-416

Persistent link: https://www.econbiz.de/10011722532