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An empirical validation of financial contagion by a multivariate VAR model
Boutabba, Islem - In: International journal of business and economics 18 (2019) 2, pp. 221-244
Persistent link: https://www.econbiz.de/10012138318
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The importance of fear : investor sentiment and stock market returns
Smales, L. A. - In: Applied economics 49 (2017) 34/36, pp. 3395-3421
Persistent link: https://www.econbiz.de/10011774954
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Risk perception in financial markets : on the flip side
Bekiros, Stelios; Jlassi, Mouna; Naoui, Kamel; Uddin, … - In: International review of financial analysis 57 (2018), pp. 184-206
Persistent link: https://www.econbiz.de/10012006344
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Revisiting the pricing impact of commodity market spillovers on equity markets
Pinto-Ávalos, Francisco; Bowe, Michael; Hyde, Stuart - In: Journal of commodity markets : JCM 33 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10014526496
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Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market
Schasfoort, Joeri; Stockermans, Christopher - 2017
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
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Is macroeconomic tail risk contagious to stock idiosyncratic risk?
Yao, Shouyu; Liu, Zezhong; Wang, Chunfeng; Palma, Alessia; … - In: Finance research letters 63 (2024), pp. 1-5
Persistent link: https://www.econbiz.de/10014531317
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Better the devil you know : the influence of political incumbency on Australian financial market uncertainty
Smales, Lee A. - In: Research in international business and finance 33 (2015), pp. 59-74
Persistent link: https://www.econbiz.de/10011325891
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Volatility and the pricing kernel
Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022
Persistent link: https://www.econbiz.de/10012816005
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Herding behaviour and volatility in the Athens Stock Exchange
Messis, Petros; Zapranis, Achilleas - In: Journal of risk finance : the convergence of financial … 15 (2014) 5, pp. 572-590
Persistent link: https://www.econbiz.de/10010469121
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Immune or at-risk? : stock markets and the significance of the COVID-19 pandemic
O’Donnell, Niall; Shannon, Darren; Sheehan, Barry - In: Journal of behavioral and experimental finance 30 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012814564