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Impact of public news sentiment on stock market index return and volatility
Anese, Gianluca; Corazza, Marco; Costola, Michele; … - In: Computational management science 20 (2023) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10014391980
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Why do stock markets negatively price democracy?
Bonaparte, Yosef - In: Journal of international financial markets, … 91 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014494751
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The relation between macroeconomic variables and stock market returns using multivariate methods
Grigoris, Michailidis; Stavros, Tsopogiou - In: International journal of economics 2 (2008) 1, pp. 19-43
Persistent link: https://www.econbiz.de/10003891378
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Duration-Based Stock Valuation : Reassessing Stock Market Performance and Volatility
van Binsbergen, Jules H. - 2020
) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …
Persistent link: https://www.econbiz.de/10012481562
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10012584099
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A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
Rodrigues, Paulo - 2009
This paper examines continuous-time models for the price and volatility processes of individual stocks and the S … diffusive volatility innovations we find that the first principal component is highly correlated with index variance innovations …
Persistent link: https://www.econbiz.de/10012718585
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Impact of sentiments on stock returns, volatility and liquidity
Gakhar, Divya Verma; Kundlia, Shweta - In: International journal of economic policy in emerging … 14 (2021) 5/6, pp. 536-565
Persistent link: https://www.econbiz.de/10012695381
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Dynamics of contagion and spillover effects : further evidence from major equity markets
Shahani, Rakesh; Umar, Fahad - In: Praj̄nȧn : journal of social and management sciences 49 (2020) 2, pp. 161-184
Persistent link: https://www.econbiz.de/10012665862
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Innovation, Stock Market Feedback and Good Idiosyncratic Volatility
Kumar, Praveen - 2018
firm-specific and systematic drivers of innovation profits, we derive a positive relation of idiosyncratic volatility of …
Persistent link: https://www.econbiz.de/10012922031
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Indicator for describing bull and bear markets : asymmetry and persistence perspective
Natthinee Thampanya; Chanapol Pornpikul - In: Southeast Asian journal of economics 8 (2020) 1, pp. 39-81
Persistent link: https://www.econbiz.de/10012813428