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Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models

Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48

Persistent link: https://www.econbiz.de/10009155466

Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve

Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - 2015

Persistent link: https://www.econbiz.de/10011437580

Duration and risk

Brown, Gerald R. - In: The journal of real estate research 20 (2000) 3, pp. 337-356

Persistent link: https://www.econbiz.de/10001530360

Excess stock returns and news : evidence from European markets

Malliaropulos, Dimitrios - In: European financial management : the journal of the … 4 (1998) 1, pp. 29-46

Persistent link: https://www.econbiz.de/10001244084

The ARCH effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns

Din, Tarek Mohy el - 1997

Persistent link: https://www.econbiz.de/10000968338

Testing for evidence of nonlinear structure in daily and weekly United Kingdom stock and property market indices

Newell, Graeme; Peat, Maurice; Stevenson, Maxwell John - 1997

Persistent link: https://www.econbiz.de/10000985456

Volatility Models of the Yield Curve

Goodman, Victor W. - 2009

substantial resolution of these obstacles. By focusing on no-arbitrage models using a long bond as a numeraire, we avoid problems …

Persistent link: https://www.econbiz.de/10013155094

Excess Stock Returns and News : Evidence from European Markets

Malliaropulos, Dimitris - 2022

This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into the variance of news about future excess returns, dividends and real interest rates. Special emphasis is given on the issue of stationarity and structural breaks in the...

Persistent link: https://www.econbiz.de/10014236921

A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index

Alsheikhmubarak, Abdulilah; Giouvris, Evangelos - 2023

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and … other asymmetric models unless there is exceptionally high volatility such as the crisis of 2008 in which case EGARCH …

Persistent link: https://www.econbiz.de/10014254483

Exchange rates and the global transmission of equity market shocks

Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - In: Economic modelling 114 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013367523