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Expected stock market returns and volatility : three decades later

Kassa, Haimanot; Wang, Feifei; Yan, Xuemin Sterling - In: Critical finance review 12 (2023) 1/4, pp. 271-307

Persistent link: https://www.econbiz.de/10014370376

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

An assessment of volatility and leverage effect before and during the period of Covid-19 : a study of selected international stock markets

Bhunia, Amalendu; Ganguly, Soumya - In: International journal of financial services management … 10 (2020) 2, pp. 113-127

Persistent link: https://www.econbiz.de/10012510344

Investor overreaction in Asian and US stock markets : evidence from the 2008 financial crisis

Tai, Yu-nan - In: The international journal of business and finance … 8 (2014) 3, pp. 71-93

Persistent link: https://www.econbiz.de/10010241914

The effect of global crises on momentum profitability : evidence from the Indian stock market

Maheswari, Supriya; Dhankar, Raj S. - In: Vision : the journal of business perspective 21 (2017) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10011707923

Assessing market liquidity amidst crisis : evidence from indian stock market

Sidharth.J - 2025

Persistent link: https://www.econbiz.de/10015414693

A time series analysis of aggregate business failure activity and credit conditions

Melicher, Ronald W. - In: Journal of economics & business 40 (1988) 4, pp. 319-333

Persistent link: https://www.econbiz.de/10001069780

Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models

Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8

root test and the series were found to be stationary. After reaching the average equation model as ARMA (2.2), it was … tested whether there was an ARCH effect in the ARMA (2,2) model. As a result of the applied ARCH-LM test, it is reached that …,1), GARCH (1,2), GARCH (1,3), GARCH (2,1), GARCH (2,2), EGARCH (1,1) and EGARCH (1,2). While the obtained findings indicate that …

Persistent link: https://www.econbiz.de/10014382180

Predicting stock return and volatility with machine learning and econometric models : a comparative case study of the Baltic stock market

Nõu, Anders; Lapitskaya, Darya; Eratalay, M. Hakan; … - In: International journal of computational economics and … 13 (2023) 4, pp. 446-489

Persistent link: https://www.econbiz.de/10014439728

Are institutional investors the cause for volatile stock markets?

Singh, Amit Kumar; Jain, Srishti - In: Finance India : the quarterly journal of Indian … 37 (2023) 4, pp. 1149-1168

Persistent link: https://www.econbiz.de/10015188492