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Expected volatility, unexpected volatility, and the cross-section of stock returns
Chua, Choong Tze; Goh, Jeremy C.; Zhang, Zhe - In: The journal of financial research 33 (2010) 2, pp. 103-123
Persistent link: https://www.econbiz.de/10003987973
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Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
Awartani, Basel; Maghyereh, Aktham I. - In: Energy economics 36 (2013), pp. 28-42
Persistent link: https://www.econbiz.de/10009724768
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Independent component analysis for realized volatility : analysis of the stock market crash of 2008
Kumiega, Andrew; Neururer, Thaddeus; Van Vliet, Benjamin - In: The quarterly review of economics and finance : journal … 51 (2011) 3, pp. 292-302
Persistent link: https://www.econbiz.de/10009271737
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Expected Volatility, Unexpected Volatility, and the Cross-Section of Stock Returns
Chua, Choong Tze - 2013
The existing literature finds conflicting results on the cross-sectional relation between expected returns and idiosyncratic volatility. We contend that at the firm level, the sample correlation between unexpected returns and expected idiosyncratic volatility can cloud the true relation between...
Persistent link: https://www.econbiz.de/10013092231
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Return and volatility spillover between stock prices and exchange rates in Croatia : a spillover methodology approach
Škrinjarić, Tihana; Dedi, Lidija; Šego, Boško - In: Romanian journal of economic forecasting 23 (2020) 4, pp. 93-108
Persistent link: https://www.econbiz.de/10012587117
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Dynamic spillovers between Nigerian, South African and international equity markets
Fowowe, Babajide; Shuaibu, Mohammed Isa - In: International economics : a journal published by CEPII … 148 (2016), pp. 59-80
Persistent link: https://www.econbiz.de/10011669827
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Asymmetric semi-volatility spillover effects in EMU stock markets
Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230
Persistent link: https://www.econbiz.de/10012006352
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Return and volatility spillovers between oil and stock markets in South Africa and Nigeria
Fowowe, Babajide - In: African journal of economic and management studies : AJEMS 8 (2017) 4, pp. 484-497
Persistent link: https://www.econbiz.de/10011813280
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Idiosyncratic risk and spillover effect in REIT returns
Hui, Eddie Chi Man; Wang, Ziyou - In: International journal of strategic property management 22 (2018) 6, pp. 457-470
Persistent link: https://www.econbiz.de/10011998439
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Forecasting stock market volatility : the sum of the parts is more than the whole
Gao, Shang; Zhang, Zhikai; Wang, Yudong; Zhang, Yaojie - In: Finance research letters 55 (2023) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014473040