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An empirical analysis of herding behaviour : evidence from developed and frontier financial markets

Hakmaoui, Abdelati; El Jebari, Ouael - In: International journal of computational economics and … 13 (2023) 4, pp. 374-403

Persistent link: https://www.econbiz.de/10014439720

Linking asset prices to news without direct asset mentions

Avioz, Ilanit; Kedar-Levy, Haim; Pungulescu, Crina; … - In: Applied economics letters 30 (2023) 20, pp. 2907-2912

Persistent link: https://www.econbiz.de/10014414038

The influence of different financial market regimes on the dynamic estimation of GARCH volatility model parameters and volatility forecasting

Viljoen, Helena; Conradie, Willie J.; Britz, Monique-Mari - In: Journal for studies in economics and econometrics : SEE 46 (2022) 3, pp. 169-184

Persistent link: https://www.econbiz.de/10013482379

The spillover effect on the CEE equity markets and the financial contagion In the context of financial integration

Boghicevici, Claudia; Stamule, Simona; Lolea, Iulian Cornel - In: Romanian journal of economic forecasting 24 (2021) 4, pp. 155-170

Persistent link: https://www.econbiz.de/10013407269

Institutional investor attention and stock market volatility and liquidity : international evidence

El Ouadghiri, Imane; Erragragui, Elias; Jaballah, Jamil; … - In: Applied economics 54 (2022) 42, pp. 4839-4854

Persistent link: https://www.econbiz.de/10013411048

COVID-19 pandemic & financial market volatility : evidence from GARCH models

Khan, Maaz; Kayani, Umar Nawaz; Khan, Mrestyal; Mughal, … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-20

the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID … returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level of volatility persistence …

Persistent link: https://www.econbiz.de/10014289566

Cointegration of "MIBOR" with rupee-dollar and rupee-yen exchange rates : estimating volatility spill-overs and asymmetry

Shukla, Upendra Nath; Tandon, Neelam; Tandon, Deepak; … - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 6, pp. 691-711

Persistent link: https://www.econbiz.de/10014230070

Modelling the volatility of African capital markets in the presence of the Covid-19 pandemic : evidence from five emerging economies in Africa

Adeboye, Nureni Olawale; Folorunso, Sakinat Oluwabukonla; … - In: Statistics in transition : an international journal of … 24 (2023) 2, pp. 17-37

Conditional Heteroscedasticity (EGARCH) procedures to develop stock volatility models for the pre- and COVID-19 era. The Fixed … volatility and the COVID-19 occurrence based on equity market indices and COVID-19 reported cases of five emerging African … differencing and the model results indicated that the stock volatility of all the countries responded sharply to the outbreak of …

Persistent link: https://www.econbiz.de/10015052069

Volatility and the pricing kernel

Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022

Persistent link: https://www.econbiz.de/10012816005

Is capital market integration among the SAARC countries feasible? : an empirical study

Chowdhury, Emon Kalyan - In: Eurasian journal of business and economics : EJBE 13 (2020) 25, pp. 21-36

Persistent link: https://www.econbiz.de/10012225638