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Financial market spillovers around the globe
Dimpfl, Thomas; Jung, Robert - 2011
follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …
Persistent link: https://www.econbiz.de/10009161582
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A new look at stock return indicators and their impact under different market conditions
Knif, Johan - 1995
Persistent link: https://www.econbiz.de/10000572826
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Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559410
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Bubbles, food prices, and speculation : evidence from the CFTC' s daily large trader data files
Aulerich, Nicole M.; Irwin, Scott H.; García, Philip - 2013
Persistent link: https://www.econbiz.de/10009754625
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Skewness risk premium : theory and empirical evidence
Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2013
Persistent link: https://www.econbiz.de/10009723118
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Closing the question on the continuation of turn-of-the-month effects : evidence from the S&P 500 index futures contract
Maberly, Edwin D.; Waggoner, Daniel F. - 2000
Persistent link: https://www.econbiz.de/10001527589
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A general volatility framework and the generalised historical volatility estimator
Bollen, Bernard - 1998
Persistent link: https://www.econbiz.de/10000995980
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Efficiency in index options markets and trading in stock baskets
Ackert, Lucy F.; Tian, Yisong Sam - 1999
Persistent link: https://www.econbiz.de/10001393315