generating process. Share ownership plays a vital role. An empirical illustration based on the Nokia stock is included. Long …

reproduce the observed non-linear dynamics of stock returns, even in the most extreme case in which both the factor and the non … stock returns. It is demonstrated that this assumption alone is sufficient to account for the most important stylized facts … of stock returns, namely conditional heteroscedasticity, leptokurtosis, weak serial correlation over short horizons …

We scrutinize the monthly realized stock-bond correlation based upon high frequency returns. In particular, we use a … predictable to a large extent with bond market liquidity being the most important variable. Moreover, stock market volatility … quantile regressions to pin down the systematic variation of the extreme tails of the realized stock-bond correlation over its …

This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange … market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share … Index and monetary policy instrument. This study considers the two regimes characterizing the stock market, which are the …