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Univariate GARCH model generated volatility skews for the CIVETS stock indices

Labuschagne, Coenraad C. A.; Oberholzer, Niel; Venter, … - In: Advances in applied economic research : proceedings of …, (pp. 333-347). 2017

Persistent link: https://www.econbiz.de/10011744293

The intended and unintended consequences of financial-market regulations : a general-equilibrium analysis

Buss, Adrian; Dumas, Bernard; Uppal, Raman; Vilkov, Grigory - In: Journal of monetary economics 81 (2016), pp. 25-43

Persistent link: https://www.econbiz.de/10011709400

How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice

Dimitriadis, Timo; Halbleib, Roxana - 2019

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...

Persistent link: https://www.econbiz.de/10012317619

Volatility linkage between the stock exchange of Thailand and major stock markets

Budsabawan Maharakkhaka; Boonyachote Suteerawattananon; … - In: Corporate Practices: Policies, Methodologies, and …, (pp. 569-585). 2024

Persistent link: https://www.econbiz.de/10014564326

Isolating defensive corporate ESG effects : evidence from purely domestic anti-COVID-19 measures

Goodell, John W.; Corbet, Shaen; Hou, Yang; Hu, Yang; … - In: Journal of financial stability 71 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014533560

Temporary information disclosure and stock price volatility

Ling, Wanting - In: Proceedings of the 5th International Conference on …, (pp. 88-92). 2022

Persistent link: https://www.econbiz.de/10013348546

The impact of quantitative easing on stock market : evidence from Greece

Karagiannopoulou, Sofia; Patsis, Paris; Sariannidis, … - In: Business Development and Economic Governance in …, (pp. 297-313). 2022

Persistent link: https://www.econbiz.de/10013415082

The impact of COVID-19 on firm stock price volatility

Chamzallari, Marinela; Chantziaras, Antonios; Grose, Chris - In: Business Development and Economic Governance in …, (pp. 433-450). 2022

Persistent link: https://www.econbiz.de/10013415121

The crude oil price-stock return connectedness and the impact of the Russian-Ukraine war on stock returns in East Asian countries

Behera, Chinmaya - In: Bulletin of monetary economics and banking 26 (2023), pp. 97-110

Persistent link: https://www.econbiz.de/10014266370

Monetary policy, bond returns and debt dynamics

Berndt, Antje; Yeltekin, Şevin - In: Journal of monetary economics 73 (2015), pp. 119-136

Persistent link: https://www.econbiz.de/10011381760