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Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach

Chen, Jiusheng - In: Journal of risk : JOR 25 (2023) 3, pp. 77-127

Persistent link: https://www.econbiz.de/10014487093

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

Persistent link: https://www.econbiz.de/10012131511

Structural breaks in volatility : the case of Chinese stock returns

Ni, Jinlan; Wohar, Mark E.; Wang, Beichen - In: The Chinese economy 49 (2016) 2, pp. 81-93

Persistent link: https://www.econbiz.de/10011619799

Exchange rate influences on stock market returns and volatility dynamics : empirical evidence from the Australian stock market

Karunanayake, Indika - In: Review of applied economics 10 (2014) 1/2, pp. 83-97

Persistent link: https://www.econbiz.de/10010506487

New evidence on sources of leverage effects in individual stocks

Smith, Geoffrey Peter - In: The financial review : the official publication of the … 50 (2015) 3, pp. 331-340

Persistent link: https://www.econbiz.de/10011338155

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - In: Applied economics 53 (2021) 55, pp. 6376-6397

Persistent link: https://www.econbiz.de/10012697913

The determinants of bank's stock volatility

Topaloğlu, Emre Esat; Sakur, Reşat; Yaman, Serdar - In: Evoluation of money, banking and financial crisis : …, (pp. 323-338). 2020

Persistent link: https://www.econbiz.de/10012802552

Improving volatility forecasts with GED-GARCH model: evidence from U.S. stock market

Giacalone, Massimiliano; Mattera, Raffaele; Cozzucoli, … - In: The empirical economics letters : a monthly … 18 (2019) 7, pp. 785-791

Persistent link: https://www.econbiz.de/10012315480

Exchange rate influences on stock market returns and volatility dynamics : empirical evidence from the Australian stock market

Karunanayake, Indika - In: Journal of international economic review 9 (2016) 2, pp. 225-239

Persistent link: https://www.econbiz.de/10011673059

Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290

Persistent link: https://www.econbiz.de/10011348408