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On the links between stock and commodity markets' volatility

Creti, Anna; Joëts, Marc; Mignon, Valérie - Université Paris-Dauphine (Paris IX) - 2013

This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...

Persistent link: https://www.econbiz.de/10011265523

A multi-horizon scale for volatility.

Subbotin, Alexander - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …

Persistent link: https://www.econbiz.de/10005510612

Stock Prices, Earnings and Expected Dividends

Campbell, John Y.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1988

the behavior of stock prices and returns. We estimate that log dividend-price ratios are more variable than, and virtually … volatility directly implies the forecastability of long-horizon returns. …

Persistent link: https://www.econbiz.de/10005249149

Effect of trading momentum and price resistance on stock market dynamics: a Glauber Monte Carlo simulation

Castiglione, F; Pandey, R.B; Stauffer, D - In: Physica A: Statistical Mechanics and its Applications 289 (2001) 1, pp. 223-228

.0,b=5. The volatility auto-correlation function (c(τ)) is positive for several iterations. …

Persistent link: https://www.econbiz.de/10011060719

Forecasting stock returns volatility of the G7 over centuries : the role of climate risks

Bouri, Elie; Gupta, Rangan; Liphadzi, Asingamaanda; … - 2024

Persistent link: https://www.econbiz.de/10014553267

COVID-19 pandemic waves and global financial markets : evidence from wavelet coherence analysis

Karamti, Chiraz; Belhassine, Olfa - In: Finance research letters 45 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014575517

COVID-19 and the african financial markets : less infection, less economic impact ?

Lo, Gaye Del; Basséne, Théophile; Séne, Babacar - In: Finance research letters 45 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014576257

Testing for convergence in stock markets: a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274513

Symposium on stochastic volatility: an introductory overview

Viens, Frederi - In: Annals of Finance 8 (2012) 2, pp. 151-157

Persistent link: https://www.econbiz.de/10010866514

Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock Exchange

Pulungan, Dolly Parlagutan; Wahyudi, Sugeng; Suharnomo; … - In: Investment management and financial innovations 15 (2018) 4, pp. 135-143

Persistent link: https://www.econbiz.de/10012055662