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Common business cycles and volatilities in US states and MSAs : the role of economic uncertainty

Gupta, Rangan; Ma, Jun; Risse, Marian; Wohar, Mark E. - In: Journal of macroeconomics 57 (2018), pp. 317-337

Persistent link: https://www.econbiz.de/10012127992

Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises

Punzi, Maria Teresa - 2016

We empirically analyze asset price boom-bust cycles over a long-run period of 1896-2014 for the U.S., the Netherlands, Norway and Sweden. We focus on macro-financial linkages to understand if these are common phenomena during financial crises, or if the linkage was simply amplified during the...

Persistent link: https://www.econbiz.de/10011446571

Asymmetric international transmission in the conditional mean and volatility to the Japanese market from the US : EGARCH versus SV models

Shimada, Junji; Tsukuda, Yoshihiko; Miyakoshi, Tatsuyoshi - In: The Singapore economic review : journal of the Economic … 54 (2009) 1, pp. 123-134

Persistent link: https://www.econbiz.de/10003851285

Trading frictions and consumption-output comovement

Zhao, Yan; Guo, Shen; Liu, Xingfei - In: Journal of macroeconomics 42 (2014), pp. 229-240

Persistent link: https://www.econbiz.de/10011286616

Correlation and volatility transmission across international stock markets : a bivariate GARCH analysis

Sakthivel, P.; Bodkhe, Naresh; Kamaiah, Bandi - In: International journal of economics and finance 4 (2012) 3, pp. 253-264

Persistent link: https://www.econbiz.de/10009613311

Does correlation between stock returns really increase during turbulent periods?

Chesnay, François; Jondeau, Eric - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 1, pp. 53-80

Persistent link: https://www.econbiz.de/10001571084

Does correlation between stock returns really increase during turbulent period?

Chesnay, François; Jondeau, Eric - 2000

Persistent link: https://www.econbiz.de/10001496182

Empirical analysis of interdependency and volatility among Asian stock markets

Chiang, Thomas C.; Jiang, Christine X. - In: Review of Pacific Basin financial markets and policies 1 (1998) 4, pp. 437-459

Persistent link: https://www.econbiz.de/10001382106

Does Correlation between Stock Returns Really Increase During Turbulent Period?

chesnay, françois - 2010

Correlations between international equity markets are often claimed to increase during periods of high volatility …

Persistent link: https://www.econbiz.de/10013134838

Asymmetric International Transmission in the Conditional Mean and Volatility to the Japanese Market from the US : Egarch Versus SV Models

Miyakoshi, Tatsuyoshi - 2010

conditional mean and volatility of the Japanese market using the daily returns on stock price indices. Using both the EGARCH and … in the conditional volatility obtained by Koutmos and Booth (1995) although each of them analyzed only one spillover … volatility in the US market with the SV model is asymmetrically transmitted to the volatility in the Japanese market …

Persistent link: https://www.econbiz.de/10013150379

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