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Intertemporal risk-return tradeoff in the short-run

Marks, Joseph M.; Nam, Kiseok - In: Economics letters 172 (2018), pp. 81-84

Persistent link: https://www.econbiz.de/10012022059

Asymmetric mean reversion in low liquid markets : evidence from BRVM

Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of risk and financial management : JRFM 12 (2019) 1/38, pp. 1-19

This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...

Persistent link: https://www.econbiz.de/10012022315

Asymmetric volatility spillovers between crude oil and international financial markets

Wang, Xunxiao; Wu, Chongfeng - In: Energy economics 74 (2018), pp. 592-604

Persistent link: https://www.econbiz.de/10011972941

An analysis of spillover of return and asymmetric spillovr of volatility between NIFTY and India VIX

Chopra, Monika - In: South Asian journal of management : SAJM 25 (2018) 2, pp. 90-116

Persistent link: https://www.econbiz.de/10012011151

Dynamic correlation of precious metals and flight-to-quality in developed markets

Klein, Tony - In: Finance research letters 23 (2017), pp. 283-290

Persistent link: https://www.econbiz.de/10011808418

Revisiting the oil price and stock market nexus : a nonlinear Panel ARDL approach

Salisu, Afees A.; Isah, Kazeem O. - In: Economic modelling 66 (2017), pp. 258-271

Persistent link: https://www.econbiz.de/10011813734

Modeling volatility linkages between Shanghai and Hong Kong stock markets before and after the connect program

Lin, Wensheng - In: Economic modelling 67 (2017), pp. 346-354

Persistent link: https://www.econbiz.de/10011813838

The impact of securities margin trading on Chinese stock market

Chen, Shaozhen; Su, Liang; Lin, Li; Zhou, Chaoqun; Lin, … - In: International journal of economics and finance 10 (2018) 4, pp. 101-111

Persistent link: https://www.econbiz.de/10011859979

Volatility in the Nigerian Stock Market : empirical application of Beta-t-GARCH variants

Yaya, OlaOluwa S.; Bada, Abiodun S.; Atoi, Ngozi V. - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-22

classes of volatility models that simultaneously account for jumps and asymmetry. Using these models, we estimate the dynamic … family models in predicting jumps, outliers and asymmetry in financial time series modelling. …

Persistent link: https://www.econbiz.de/10011661497

The impact of tail risk on stock market returns : the role of market sentiment

Chevapatrakul, Thanaset; Xu, Zhongxiang; Yao, Kai - In: International review of economics & finance : IREF 59 (2019), pp. 289-301

Persistent link: https://www.econbiz.de/10012202875