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Three essays on volatility forecasting and forecast evaluation
Kleen, Onno - 2020
Persistent link: https://www.econbiz.de/10012436127
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The certification role of the EU-wide stress testing exercises in the stock market: What can we learn from the stress tests (2014-2021)?
Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - 2022
What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First, we study the effect of the disclosure of stress...
Persistent link: https://www.econbiz.de/10014278311
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Volatility transmission and asymmetric linkages between the stock and foreign exchange markets : a sectoral analysis
Fu, Tian Yong; Holmes, Mark J.; Choi, Daniel F. S. - In: Studies in economics and finance 28 (2011) 1, pp. 36-50
Persistent link: https://www.econbiz.de/10009007562
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Impact of future trading on stock market : a study of BRIC countries
Gahlot, Ruchika; Datta, Saroj Kumar - In: Studies in economics and finance 29 (2012) 2, pp. 118-132
Persistent link: https://www.econbiz.de/10009559805
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Stock markets linkages before, during and after subprimes crisis : bivariate BEKK GARCH (1, 1) and DCC models
Abdelkefi, Samar Zlitni; Khoufi, Walid - In: International journal of economics, finance and … 3 (2015) 3, pp. 213-230
Persistent link: https://www.econbiz.de/10011389712
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Contagion, decoupling and the spillover effects of the US financial crisis : evidence from the BRIC markets
Bekiros, Stelios D. - In: International review of financial analysis 33 (2014), pp. 58-69
Persistent link: https://www.econbiz.de/10010520075
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Conditional correlations and volatility links among gold, oil and Istanbul Stock Exchange sector returns
Gencer, Hatice Gaye; Kilic, Erdem - In: International journal of economics and financial issues … 4 (2014) 1, pp. 170-182
Persistent link: https://www.econbiz.de/10010520108
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Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach
Bekiros, Stelios; Gupta, Rangan - In: Economics letters 131 (2015), pp. 83-85
Persistent link: https://www.econbiz.de/10011422667
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Political uncertainty and financial market uncertainty in an Australian context
Smales, Lee A. - In: Journal of international financial markets, … 32 (2014), pp. 415-435
Persistent link: https://www.econbiz.de/10011299782
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VIX and the variance of Dow Jones industrial average stocks
Mollick, André Varella - In: Managerial finance 41 (2015) 3, pp. 226-243
Persistent link: https://www.econbiz.de/10011300369