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Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2013

, including contagion, flight to collateral, and swings in the issuance volume of the highest quality debt. We explain the …

Persistent link: https://www.econbiz.de/10010895688

Interbank transactions on the intraday frequency : - different market states and the effects of the financial crisis -

Demertzidis, Anastasios - 2019

The focus of this paper lies in the study of the intraday distribution of the number of transactions and transaction volume (absolute and mean per transaction) in the interbank credit market e-MID in different market states around the events of the financial crisis of 2007. The results show that...

Persistent link: https://www.econbiz.de/10012133514

Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

Persistent link: https://www.econbiz.de/10012138660

Which is Worse : Heavy Tails or Volatility Clusters?

Traut, Joshua; Schadner, Wolfgang - 2023

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former are extreme events by definition and the latter can accelerate adverse market developments. This work disentangles the two sources and examines which one does the greater damage...

Persistent link: https://www.econbiz.de/10014350927

Stock market contagion in Central and Eastern Europe : unexpected volatility and extreme co-exceedance

Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - 2016

We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We … use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i …

Persistent link: https://www.econbiz.de/10011482691

Volatility Spillover in India, USA and Japan Investigation of Recession Effects

Sinha, Pankaj; Sinha, Gyanesh - Volkswirtschaftliche Fakultät, … - 2010

the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …

Persistent link: https://www.econbiz.de/10011108677

Volatility Spillover in India, USA and Japan Investigation of Recession Effects

Sinha, Pankaj; Sinha, Gyanesh - Volkswirtschaftliche Fakultät, … - 2010

the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …

Persistent link: https://www.econbiz.de/10008543770

Return and volatility spillovers in equity markets : an investigation using various GARCH methodologies

Dedi, Lidija; Yavas, Burhan F. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …

Persistent link: https://www.econbiz.de/10011597965

Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513

positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …

Persistent link: https://www.econbiz.de/10011874650

Forecasting volatility : evidence from the Saudi stock market

Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18

autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …

Persistent link: https://www.econbiz.de/10011960525