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Economic Activity and the Stock Market: The Asymmetric Impact of Fundamental and Non-Fundamental News
Henry, Ólan; Olekalns, Nilss; Shields, Kalvinder - Department of Economics, Faculty of Business and Economics - 2008
In this paper, we present a general model of the joint data generating process underlying economic activity and stock market returns allowing for complex nonlinear feedbacks and interdependencies between the conditional means and conditional volatilities of the variables. We propose statistics...
Persistent link: https://www.econbiz.de/10005750812
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Sign and phase asymmetry: News, economic activity and the stock market
Henry, Ólan; Olekalns, Nilss; Shields, Kalvinder - In: Journal of Macroeconomics 32 (2010) 4, pp. 1083-1100
In this paper, we present a general model of the joint data generating process underlying economic activity and stock market returns allowing for complex nonlinear feedbacks and interdependencies between the conditional means and conditional volatilities of the variables. We propose statistics...
Persistent link: https://www.econbiz.de/10008868352
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Economic activity and the stock market : the asymmetric impact of fundamental and non-fundamental news
Henry, Ólan Thomas John (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003712882
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Nowcasting, business cycle dating and the interpretation of new information when real time data are available
Lee, Kevin C. (contributor); Olekalns, Nilss (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003712933
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Nowcasting, business cycle dating and the interpretation of new information when real time data are available
Lee, Kevin C. (contributor); Olekalns, Nilss (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003753480
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Nowcasting, business cycle dating and the interpretation of new information when real-time data are available
Lee, Kevin C.; Olekalns, Nilss; Shields, Kalvinder K. - 2009
Persistent link: https://www.econbiz.de/10003887474
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Meta Taylor rules for the UK and Australia ; accommodating regime uncertainty in monetary policy analysis using model averaging methods
Lee, Kevin C.; Olekalns, Nilss; Shields, Kalvinder K. - 2012
Persistent link: https://www.econbiz.de/10009553210
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Australian real-time database : an overview and an illustration of its use in business cycle analysis
Lee, Kevin C.; Olekalns, Nilss; Shields, Kalvinder K.; … - In: The economic record : er 88 (2012), pp. 495-516
Persistent link: https://www.econbiz.de/10009690049
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Sign and phase asymmetry : news, economic activity and the stock market
Henry, Ólan Thomas John; Olekalns, Nilss; Shields, … - In: Journal of macroeconomics 32 (2010) 4, pp. 1083-1100
Persistent link: https://www.econbiz.de/10008937775
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Time variation and asymmetry in the world price of covariance risk : the implications for international diversification
Henry, Ólan Thomas John (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002134142