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differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011544322
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011446937
volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …
Persistent link: https://www.econbiz.de/10012979314
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …. -- terrorism ; volatility ; GARCH ; event study …
Persistent link: https://www.econbiz.de/10009743349
is often preceeded by an increase in market volatility and a withdrawal of liquidity, and that liquidity shocks play an …
Persistent link: https://www.econbiz.de/10003749227
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Persistent link: https://www.econbiz.de/10001580731
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010509638
Persistent link: https://www.econbiz.de/10003572354