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Discovering the drivers of stock market volatility in a data-rich world

Chun, Dohyun; Cho, Hoon; Ryu, Doojin - In: Journal of international financial markets, … 82 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014245870

Volatility integration of global stock markets with the Malaysian stock market : a multivariate GARCH approach

Qian, Peh Ying; Diaz, John Francis - In: Malaysian journal of economic studies 54 (2017) 1, pp. 83-117

Persistent link: https://www.econbiz.de/10011825756

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...

Persistent link: https://www.econbiz.de/10012513279

Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index

Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613

Persistent link: https://www.econbiz.de/10011485602

Behaviour of stock return autocorrelation in the GCC stock markets

Chowdhury, Shah Saeed Hassan; Rahman, M. Arifur; … - In: Global business review 16 (2015) 5, pp. 737-746

Persistent link: https://www.econbiz.de/10011409651

Revisiting the asymmetric dynamic dependence of stock returns : evidence from a quantile autoregression model

Zhu, Huiming; Li, Zhao-Lai; You, Wan-hai; Zeng, Zhaofa - In: International review of financial analysis 40 (2015), pp. 142-153

Persistent link: https://www.econbiz.de/10011475708

Testing and modeling jump contagion across international stock markets : a nonparametric intraday approach

Jawadi, Fredj; Louhichi, Waël; Cheffou, Abdoulkarim Idi - In: Journal of financial markets 26 (2015), pp. 64-84

Persistent link: https://www.econbiz.de/10011477277

Sectoral differences in feedback trading on the German stock market

Yusupova, Elena - 2005

Persistent link: https://www.econbiz.de/10002821734

Technical trading rules for nonlinear dynamics of stock returns : evidence from the G-7 stock markets

Choe, Kwang-il; Krausz, Joshua; Nam, Kiseok - In: Review of quantitative finance and accounting 36 (2011) 3, pp. 323-353

Persistent link: https://www.econbiz.de/10009272482

Response asymmetries in Asian stock markets

Doong, Shuh-Chyi; Yang, Sheng-Yung; Chiang, Thomas C. - In: Review of Pacific Basin financial markets and policies 8 (2005) 4, pp. 637-657

Persistent link: https://www.econbiz.de/10003280288

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