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Intraday patterns in time-varying correlations among Central European stock markets

Wójtowicz, Tomasz - In: Managerial economics 17 (2016) 1, pp. 149-162

In this paper we investigate intraday relationships between three Central European stock exchanges: those in Frankfurt, Vienna and Warsaw. They represent different types of stock markets: two of them are developed, while the last is an emerging market. Via DCC-GARCH models we analyze and compare...

Persistent link: https://www.econbiz.de/10011736952

Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements : evidence from Central Europe

Gurgul, Henryk; Lach, Łukasz; Wójtowicz, Tomasz - In: Managerial economics 17 (2016) 2, pp. 217-240

Frankfurt, Vienna, and Warsaw. We examine causal links between returns, volatility, and trading volume as well as the time of …

Persistent link: https://www.econbiz.de/10011736959

Price duration versus trading volume in high-frequency data for selected DAX companies

Gurgul, Henryk; Syrek, Robert; Mitterer, Christoph - In: Managerial economics 17 (2016) 2, pp. 241-260

The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume of selected stocks listed on the Frankfurt Stock Exchange. We demonstrate the usefulness of the copula function to describe the dependence of specific unevenly spaced time...

Persistent link: https://www.econbiz.de/10011736961

Commodity price fluctuations and unemployment in a dependent economy

Sengupta, Jonaki; Nag, Ranjanendra Narayan; Goswami, Bhaskar - In: Contemporary economics 11 (2017) 3, pp. 315-326

The interconnected issues of commodity price fluctuation, unemployment and balance of trade developments are of critical importance in times of globalization. The present paper addresses these issues in terms of a monetary dependent economy macro model that applies to a large class of emerging...

Persistent link: https://www.econbiz.de/10011760559

Sentiment dynamics and volatility of international stock markets

Aydogan, Berna - In: Eurasian business review 7 (2017) 3, pp. 407-419

This study attempts to analyze the effects of investor sentiment on volatility of nine stock markets, and capture the … France and Germany, stock market volatility is sensitive to negative shock in investor sentiment, supporting the existence of …, while policymakers can take steps to stabilize investor sentiment, thereby reducing stock market volatility and uncertainty. …

Persistent link: https://www.econbiz.de/10011813522

Forecasting stock market realized variance with Echo State Neural Networks

Fičura, Milan - In: European financial and accounting journal : EFAJ 12 (2017) 3, pp. 145-156

results show that asymmetric models generally outperform symmetric ones, indicating that a correlation between volatility and … returns plays an important role for volatility forecasting. Additionally, models utilizing a logarithmic transformation of the …

Persistent link: https://www.econbiz.de/10011818288