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Time-varying impacts of oil price shocks on China’s stock market under economic policy uncertainty

Liu, Zhenhua; Zhu, Tingting; Duan, Zhaoping; Xuan, Shanqi; … - In: Applied economics 55 (2023) 9, pp. 963-989

Persistent link: https://www.econbiz.de/10013498965

Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? : a time-frequency analysis

Chen, Xiuwen - In: Applied economics 55 (2023) 48, pp. 5637-5652

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Dynamic impacts of economic policy uncertainty on australian stock market : an intercontinental evidence

Bairagi, Ranajit Kumar - In: Journal of emerging market finance 21 (2022) 1, pp. 64-91

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Business-specific risks and stock market volatility as Indonesian macroeconomic risk estimators

Purba, Ezra Valentino; Husodo, Zaäfri Ananto - In: Macroeconomic risk and growth in the Southeast Asian …, (pp. 1-17). 2024

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The only certainty is uncertainty : An analysis of the impact of COVID-19 uncertainty on regional stock markets

Szczygielski, Jan Jakub; Bwanya, Princess Rutendo; … - In: Finance research letters 43 (2021), pp. 1-12

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Asymmetrical reaction to US stock-return news : evidence from major stocks markets based on a double-threshold model

Chen, Cathy W. S.; Chiang, Thomas C.; So, Mike Ka-pui - In: Journal of economics & business 55 (2003) 5/6, pp. 487-502

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Fundamentals and the winner-loser effect theory and empirical evidence

Külpmann, Mathias - 2000

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Kapitalmarktreaktionen auf Nennwertumstellungen

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Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Corradi, Valentina (contributor); … - 2008

require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …

Persistent link: https://www.econbiz.de/10003848514

Macroeconomic determinants of stock market volatility and volatility risk-premiums

Corradi, Valentina; Distaso, Walter; Mele, Antonio - 2012

require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …

Persistent link: https://www.econbiz.de/10009558368