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The stock market response to a "regulatory sine curve"
Sun, Bo; Tam, Xuan Song; Young, Eric R. - 2020
Persistent link: https://www.econbiz.de/10012438975
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The Souk Al-Manakh: the anatomy of a pure price-chasing bubble
Veneroso, Frank; Pasquali, Mark - 2021
It is widely agreed that the Nasdaq during the dot-com era 20 years ago was a full-fledged stock market bubble. Recently, the US stock market according to many metrics has become significantly more speculative and overvalued than it was at the dot-com peak 20 years ago. In both instances, a very...
Persistent link: https://www.econbiz.de/10012496514
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10011663407
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Learning from history : volatility and financial crises
Daníelsson, Jón; Valenzuela, Marcela; Zer, Ilknur - 2018 - This version: January 2018
Persistent link: https://www.econbiz.de/10012204110
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Asset market linkages in crises periods
Hartmann, P.; Straetmans, S.; Vries, C. G. de - 2001
Persistent link: https://www.econbiz.de/10001610905
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On the inherent instability of international financial markets : natural nonlinear interactions between stock and foreign exchange markets
Dieci, Roberto; Westerhoff, Frank H. - 2011
We develop a novel financial market model in which the stock markets of two countries are linked via and with the foreign exchange market. To be precise, there are domestic and foreign speculators in each of the two stock markets which rely either on linear technical or linear fundamental...
Persistent link: https://www.econbiz.de/10009007640
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Realizing stock market crashes : stochastic cusp catastrophe model of returns under the time-varying volatility
Baruník, Jozef; Kukačka, Jiří - 2013
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market … the period stock markets showed marks of bifurcations, in the second half catastrophe theory was not able to confirm this … behavior. Results suggest that the proposed methodology provides an important shift in application of catastrophe theory to …
Persistent link: https://www.econbiz.de/10010206135
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Realizing stock market crashes : stochastic cusp catastrophe model of returns under time-varying volatility
Barunik, Jozef; Kukacka, Jiri - 2014
This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market … periods. While we find that the stock markets showed signs of bifurcation in the first half of the period, catastrophe theory … that the proposed methodology provides an important shift in the application of catastrophe theory to stock markets. …
Persistent link: https://www.econbiz.de/10010407518
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Using a mean changing stochastic processes exit-entry model for stock market long-short prediction
Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021
Persistent link: https://www.econbiz.de/10012520206
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Measuring the effects of unconventional policies on stock market volatility
Lacava, Demetrio; Gallo, Giampiero M.; Otranto, Edoardo - 2020 - Prima edizione
Persistent link: https://www.econbiz.de/10012515678