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Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …
Persistent link: https://www.econbiz.de/10010407529
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Uncertainty and durable consumption in the great depression
Ejarque, João - 1997
Persistent link: https://www.econbiz.de/10000960754
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The link between financial markets and the macroeconomy : evidence from survey data
Vrugt, Evert Barteld - 2009
Persistent link: https://www.econbiz.de/10003905520
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Sticky credit spreads, macroeconomic activity and equity market volatility
Li, Yan; Steeley, James M. - In: Finance and banking developments, (pp. 43-74). 2010
Persistent link: https://www.econbiz.de/10008860436
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Understanding bubbly episodes
Carvalho, Vasco M.; Martin, Alberto; Ventura, Jaume - 2012
Persistent link: https://www.econbiz.de/10009558260
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Sticky credit spreads, macroeconomic activity and equity market volatility
Li, Yan; Steeley, James M. - In: Consumer issues in global economics, finance and business, (pp. 179-210). 2011
Persistent link: https://www.econbiz.de/10009427419
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On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
Conrad, Christian; Stürmer, Karin; Rittler, Daniel - In: Journal of empirical finance 29 (2014), pp. 26-40
Persistent link: https://www.econbiz.de/10011300507
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Understanding bubbly episodes
Carvalho, Vasco M.; Martin, Alberto; Ventura, Jaume - 2012
Persistent link: https://www.econbiz.de/10009724298
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Zyklusverschiebung, Fundamentalwert und Börsenkurs
Ehrhardt, Jens; Ehrhardt, Jan; Knoll, Leonhard - In: Corporate finance / Biz 4 (2013) 3, pp. 124-130
Persistent link: https://www.econbiz.de/10009727901
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Understanding buddly episodes
Carvalho, Vasco M.; Martin, Alberto; Ventura, Jaume - In: The American economic review 102 (2012) 3, pp. 95-100
Persistent link: https://www.econbiz.de/10009705280