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Stock market volatility and return patterns following large price changes : evidence from six Pacific Basin countries

Park, Jinwoo - In: Advances in Pacific Basin financial markets 2 (1996), pp. 323-330

Persistent link: https://www.econbiz.de/10001208724

The new finance : overreaction, complexity, and uniqueness

Haugen, Robert A. - 2004 - 3. ed.

Persistent link: https://www.econbiz.de/10001786555

Transmission of stock returns and volatility : the case of Korea

Hahm, Sangmoon - 2003

Persistent link: https://www.econbiz.de/10001768276

Overnight information and opening prices on the New York Stock Exchange

Freedman, Ruth Janine; Terry, Eric - 1993

Persistent link: https://www.econbiz.de/10000998686

Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: evidence from VAR-MGARCH estimations

Janda, Karel; Krištoufek, Ladislav; Zhang, Binyi - 2022

Persistent link: https://www.econbiz.de/10013163659

The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns

Lambertides, Neophytos - 2017

imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are …

Persistent link: https://www.econbiz.de/10012959469

High Frequency Trading in the Equity Markets During US Treasury POMO

Gao, Cheng - 2018

We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve. We construct a model to study HFT quote and trade behavior when private information is released and confirm it empirically. We estimate that HFT firms...

Persistent link: https://www.econbiz.de/10012938427

Harnessing the decomposed realized measures for volatility forecasting : evidence from the US stock market

Lu, Botao; Ma, Feng; Wang, Jiqian; Ding, Hui; Wahab, M. … - In: International review of economics & finance : IREF 72 (2021), pp. 672-689

Persistent link: https://www.econbiz.de/10012672074

Return and volatility spillovers between Chinese and U.S. clean energy related stocks

Janda, Karel; Krištoufek, Ladislav; Zhang, Binyi - In: Energy economics 108 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013203260

The role of oil futures intraday information on predicting US stock market volatility

Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74

This study investigates the role of oil futures price information on forecasting the US stock market volatility using … futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly …, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are …

Persistent link: https://www.econbiz.de/10013206077