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The risk spillover effect of the COVID-19 pandemic on energy sector : evidence from China
Si, Dengkui; Li, Xiao-Lin; Xu, XuChuan; Fang, Yi - In: Energy economics 102 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10013162430
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The COVID-19 risk in the Chinese option market
Li, Jianhui; Ruan, Xinfeng; Gehricke, Sebastian A.; … - In: International review of finance : the official journal … 22 (2022) 2, pp. 346-355
Persistent link: https://www.econbiz.de/10013275599
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Applications of agent-based models and nonlinear econometrics in finance
Demary, Markus - 2010
This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous...
Persistent link: https://www.econbiz.de/10008664302
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Subjective well-being of corporate managers and its impact on stock market volatility and financial stability during the Covid-19 pandemic in Poland: an agent-based model perspecti...
Rzeszutek, Marcin; Andersen, Jørgen Vitting; Szyszka, Adam - 2023
Persistent link: https://www.econbiz.de/10014486445
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The impacts of climate policy uncertainty on stock markets : comparison between China and the US
Xu, Xin; Huang, Shupei; Lucey, Brian M.; An, Haizhong - In: International review of financial analysis 88 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014462184
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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility …
Persistent link: https://www.econbiz.de/10014295230
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Empirical analysis of economic policy uncertainty and stock returns in Asian markets
Chiang, Thomas C. - In: Advances in Pacific Basin business, economics, and finance 7 (2019), pp. 63-87
Persistent link: https://www.econbiz.de/10012582246
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A panel threshold VAR with stochastic volatility-in-mean model : an application to the effects of financial and uncertainty shocks in emerging economies
Soave, Gian Paulo - In: Applied economics 55 (2023) 4, pp. 397-431
Persistent link: https://www.econbiz.de/10013494431
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Who does a currency transaction tax harm more : short-term speculators or long-term investors?
Demary, Markus - In: Jahrbücher für Nationalökonomie und Statistik 228 (2008) 2/3, pp. 228-250
Persistent link: https://www.econbiz.de/10003770561
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Macroeconomic effects of the interest rate level : growth and fluctuations in an economy with bank capital adequacy standards
Giulioni, Gianfranco - In: Artificial markets modeling : methods and applications, (pp. 17-32). 2007
Persistent link: https://www.econbiz.de/10003854739