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Tests of excess forecast volatility in the foreign exchange and stock markets
Froot, Kenneth - 1987
Persistent link: https://www.econbiz.de/10009571466
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The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach
Chung, Y. Peter; Zhou, Zhong-guo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10009521656
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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth - 2004
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012786275
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Exchange rates, stock prices, and stock market uncertainty
Namin, Fatemeh Salimi - 2020
Persistent link: https://www.econbiz.de/10012387244
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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth A. - 1987
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012476706
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Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models
Liu, Ruipeng; Segnon, Mawuli; Cepni, Oguzhan; Gupta, Rangan - 2023
Persistent link: https://www.econbiz.de/10014448138
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Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48
Persistent link: https://www.econbiz.de/10009155466
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Political uncertainty and financial market uncertainty in an Australian context
Smales, Lee A. - In: Journal of international financial markets, … 32 (2014), pp. 415-435
Persistent link: https://www.econbiz.de/10011299782
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Modeling financial market volatility in transition markets : a multivariate case
Oikonomikou, Leoni Eleni - 2016 - Revised version including comments: February 2015
EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the …-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …
Persistent link: https://www.econbiz.de/10011454085
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Implizite Volatilitäten am Aktien- und Optionsmarkt
Dartsch, Andreas - 1999
Persistent link: https://www.econbiz.de/10001364354