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New evidence on sources of leverage effects in individual stocks
Smith, Geoffrey Peter - In: The financial review : the official publication of the … 50 (2015) 3, pp. 331-340
Persistent link: https://www.econbiz.de/10011338155
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Broker-dealer leverage volatility and the US stock prices
Istiak, Khandokar - In: Studies in economics and finance 39 (2022) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10012798490
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Volatility clustering, leverage, size, or contagion effects : the fluctuations of Asian real estate investment trust returns
Tsai, I-Chun - In: Journal of Asian economics 27 (2013), pp. 18-32
Persistent link: https://www.econbiz.de/10010190282
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The performance of dividend ETFs : the study of the spillover and leverage effects
Chen, Jo-hui; Dang Trung Kien - In: Theoretical economics letters 9 (2019) 3, pp. 499-510
Persistent link: https://www.econbiz.de/10012395468
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Leverage and asymmetric volatility : the firm-level evidence
Ericsson, Jan; Huang, Xiao; Mazzotta, Stefano - In: Journal of empirical finance 38 (2016), pp. 1-21
Persistent link: https://www.econbiz.de/10011663127
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The volatility of a firm's assets and the leverage effect
Choi, Jaewon; Richardson, Matthew - In: Journal of financial economics 121 (2016) 2, pp. 254-277
Persistent link: https://www.econbiz.de/10011590720
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The predictability, volatility persistence, and leverage effects in stock market returns : a study of BRICS stock market indices
Joo, Bashir Ahmad; Ghulam, Younis Ahmed - In: American journal of finance and accounting 7 (2023) 3/4, pp. 188-213
Persistent link: https://www.econbiz.de/10014490945
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Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 331-350
Persistent link: https://www.econbiz.de/10008811307
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Overnight news and daily equity trading risk limits
Ahoniemi, Katja; Fuertes, Ana María; Olmo, Jose - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
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Asymptotic dependence modelling of the BRICS stock markets
Sigauke, Caston; Mukhodobwane, Rosinah; Chagwiza, Wilbert; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-32
With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018...
Persistent link: https://www.econbiz.de/10013368365