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Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …

Persistent link: https://www.econbiz.de/10003670896

Modelling returns on stock indices for Western and Central European stock exchanges : a Markov switching approach

Białkowski, Je̜drzej - 2003

Persistent link: https://www.econbiz.de/10001768500

Estimating and predicting multivariate volatility thresholds in global stock markets

Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369

Persistent link: https://www.econbiz.de/10003316303

Are stock returns long term dependent? : Some empirical evidence

Jacobsen, Ben - In: Journal of international financial markets, … 5 (1995) 2/3, pp. 37-52

Persistent link: https://www.econbiz.de/10001507986

Empirical studies on volatility in international stock markets

Hol, Eugenie M. J. H. - 2003

Persistent link: https://www.econbiz.de/10001781211

International Stock Return Differentials and Real Exchange Rate Changes

Malliaropulos, Dimitris - 2022

This article investigates the link between international stock return differentials relative to the US and deviations from relative Purchasing Power Parity. Assuming that the real exchange rate and the relative stock price between two countries contain both permanent and temporary components, we...

Persistent link: https://www.econbiz.de/10013491880

Die Gestaltung von Unternehmenszentralen : eine empirische Analyse anhand internationaler Vergleichszahlen

Digmayer, Jörg W. - 2002 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001672661

A Revisit to the Dependence Structure between Stock and Foreign Exchange Markets : A Dependence-Switching Copula Approach

Wang, Yi-Chiuan - 2012

This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....

Persistent link: https://www.econbiz.de/10013107722

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

there is a negative significant volatility spillover from four of the five selected stock markets (Australia, China, Japan …, and Germany) to the Indian stock market, and that spillover continues in the post-COVID period. There is a positive …

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

Asymmetries in the conditional mean and the conditional variance : evidence from nine stock markets

Koutmos, Gregory - In: Journal of economics & business 50 (1998) 3, pp. 277-290

Persistent link: https://www.econbiz.de/10001243160

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