This paper analyzes the determinants of the volatility of different types of capital inflows to emerging countries. After calculating a variable that proxies capital flows volatility, we study its possible causality relations with a set of explanatory variables by type of flow through a panel...

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor's, Moody's, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The estimation...

Indices providing cost-efficient passive exposure to factors such as value, growth, momentum, small size or low volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal-weighted indices, are well known and widely used in practice as...

This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile regressions, a panel vector autoregression (PVAR) model,...

We provide empirical evidence that the returns on US equity momentum exhibit a time-varying skewness which deepens during dramatic losses (crashes). As a result, the dynamics of the strategy expected returns reflects the time variation in both conditional volatility and skewness. This has first...

We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices alone. The second approach uses the data on stock prices as well as a certain volatility instrument, such as the CBOE volatility index (VIX) or the Black-Scholes implied...

We investigate the effect of uncertainty on investment. We employ a unique dataset of 25000 Greek firms' balance sheets for 14 years covering the period before and after the eurozone crisis. A dynamic factor model is employed to proxy uncertainty. The investment performance of 14 sectors is...

We investigate whether the degree of energy dependency of countries influences their macroeconomic performance in terms of long-run growth. Specifically, we study whether the impact of energy price changes on economic growth differs depending on a country's degree of energy dependency. There are...

We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are ergodic, the resulting estimators are consistent. We investigate the quality of our estimators in a...

The volatility of unanticipated output growth in income per capita is detrimental to long-run development, controlling for initial income per capita, population growth, human capital, investment, openness and natural resource dependence. This effect is significant and robust over a wide range of...