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Oil-price uncertainty and international stock returns : dissecting quantile-based predictability and spillover effects using more than a century of data
Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian - 2022
Persistent link: https://www.econbiz.de/10013166706
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Contagion across financial markets during COVID-19 : a look at volatility spillovers between the stock and foreign exchange markets in South Africa
Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - 2022
Persistent link: https://www.econbiz.de/10013166947
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10013040932
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10012584099
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Impact of public news sentiment on stock market index return and volatility
Anese, Gianluca; Corazza, Marco; Costola, Michele; … - 2021
Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...
Persistent link: https://www.econbiz.de/10012629835
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What triggers stock market jumps?
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - 2021
Persistent link: https://www.econbiz.de/10012614411
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Is heightened political uncertainty priced in stock returns? : evidence from the 2014 Scottish Independence Referendum
Darby, Julia; Gao, Jun; Lucey, Siobhan; Sheng, Zhu - 2019 - This version - 14th August 2019
Persistent link: https://www.econbiz.de/10012602200
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Stock market bubbles and the forecastability of gold returns (and volatility)
Gabauer, David; Gupta, Rangan; Karmakar, Sayar; … - 2022
Persistent link: https://www.econbiz.de/10013253753
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Return and volatility spillovers between Chinese and U.S. clean energy related stocks
Janda, Karel; Krištoufek, Ladislav; Zhang, Binyi - 2022
Persistent link: https://www.econbiz.de/10013173326
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Realizing stock market crashes : stochastic cusp catastrophe model of returns under the time-varying volatility
Baruník, Jozef; Kukačka, Jiří - 2013
returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily … realized volatility from the returns in the first step and use stochastic cusp catastrophe on data normalized by the estimated … volatility in the second step to study possible discontinuities in markets. We support our methodology by simulations where we …
Persistent link: https://www.econbiz.de/10010206135