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Risk and seasonal effects : international evidence
Chen, Qiwei - 2012
Persistent link: https://www.econbiz.de/10009664509
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Day-of-the-week in different stock markets : new evidence on model-dependency in testing seasonalities in stock returns
Le Tan Nghiem; Le Long Hau; Ha Minh Tri; Vuong Quoc Duy; … - 2012
Persistent link: https://www.econbiz.de/10009673881
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Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras
Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021
volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …
Persistent link: https://www.econbiz.de/10012599014
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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Stock market contagion in Central and Eastern Europe : unexpected volatility and extreme co-exceedance
Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - 2016
use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …
Persistent link: https://www.econbiz.de/10011482691
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Trading volume and the short and long-run components of volatility
Liesenfeld, Roman - 1997
Persistent link: https://www.econbiz.de/10000641845
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Stochastic volatility models : conditional normality versus heavy tailed distributions
Liesenfeld, Roman; Jung, Robert - 1997
Persistent link: https://www.econbiz.de/10000642314
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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Extreme dependence between crude oil and stock markets in Asia-Pacific regions : evidence from quantile regression
Zhu, Huiming; Huang, Hui; Peng, Cheng; Yang, Yan - 2016
This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...
Persistent link: https://www.econbiz.de/10011561029