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Causality between the money supply and share prices : a VAR investigation

Dhakal, Dharmendra Purush - In: Quarterly journal of business and economics : QJBE 32 (1993) 3, pp. 52-74

Persistent link: https://www.econbiz.de/10001191456

A generalized bivariate mixture model for stock price volatility and trading volume

Liesenfeld, Roman - In: Journal of econometrics 104 (2001) 1, pp. 141-178

Persistent link: https://www.econbiz.de/10001589531

Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - In: International journal of economics and finance 6 (2014) 7, pp. 53-70

Persistent link: https://www.econbiz.de/10010384712

Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - 2011

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …

Persistent link: https://www.econbiz.de/10010209431

The impact of the volatility of the US government bonds rate on the Islamic index return

Djedocić, Irfan; Ergun, Ugur - In: Eurasian journal of business and economics : EJBE 11 (2018) 21, pp. 87-100

Persistent link: https://www.econbiz.de/10011883254

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

Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia

Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …

Persistent link: https://www.econbiz.de/10013397677