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An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55

Persistent link: https://www.econbiz.de/10011583531

Volatility analysis of returns and risk : family versus nonfamily firms

Madaleno, Mara; Vieira, Elisabete F. Simões - In: Quantitative finance and economics 2 (2018) 2, pp. 348-372

Persistent link: https://www.econbiz.de/10012156651

Does geopolitical risks predict stock returns and volatility of leading defense companies? : evidence from a nonparametric approach

Apergēs, Nikolaos; Bonato, Matteo; Gupta, Rangan; … - In: Defence and peace economics 29 (2018) 6, pp. 684-696

Persistent link: https://www.econbiz.de/10011957107

Aggregating sentiment in Europe : the relationship with volatility and returns

Gambarelli, Luca; Muzzioli, Silvia - 2023

Persistent link: https://www.econbiz.de/10014516165

The spectre of terrorism and the stock market

Hanna, Alan J.; Turner, John D.; Walker, Clive B. - 2022

returns and increased volatility on the UK stock market. …

Persistent link: https://www.econbiz.de/10013428887

The impact and role of COVID-19 uncertainty : a global industry analysis

Szczygielski, Jan Jakub; Charteris, Ailie; Bwanya, … - In: International review of financial analysis 80 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013366153

Time-Frequency connectedness between developing countries in the COVID-19 pandemic : the case of East Africa

Katusiime, Lorna - In: Quantitative finance and economics 6 (2022) 4, pp. 722-748

Persistent link: https://www.econbiz.de/10013500737

Forecasting volatility in oil returns using asymmetric GARCH models : evidence from Tanzania

Letema, Laban Gaspe; Mbwambo, Haika Andrew - 2023

Persistent link: https://www.econbiz.de/10014281963

The effects of oil price volatility on South African stock market returns

Musampa, Kongolo; Eita, Joel Hinaunye; Meniago, Christelle - In: Economies : open access journal 12 (2024) 1, pp. 1-20

The aim of this study is to assess the response of the South African stock market returns to oil price volatility … show evidence of an asymmetric impact of fluctuations in oil prices on South African stock market returns, using a copula … EGARCH process is the best univariate model to capture oil price volatility. Interestingly, this study also revealed that the …

Persistent link: https://www.econbiz.de/10014480171

The impact of investor sentiment on sectoral returns and volatility : evidence from the Johannesburg Stock Exchange

Muguto, Hilary Tinotenda; Muguto, Lorraine; Bhayat, Azra; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-24

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. … heteroscedasticity models. Overall, findings showed a negative relationship between prevailing sentiment and subsequent returns and a …

Persistent link: https://www.econbiz.de/10014500435