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Excess volatility pursuit in autoregressive GARCH model based panel data analysis at country level : BRICS context

Ahmed, Wajid Shakeel; Khan, Muhammad Shoaib; Sheikh, … - In: International journal of emerging markets 18 (2023) 10, pp. 3703-3719

Persistent link: https://www.econbiz.de/10014454414

Is the sovereign debt market efficient? : evidence from the US and German sovereign debt markets

Richter, Christian; Fakhry, Bachar - In: International economics and economic policy : IEEP 12 (2015) 3, pp. 339-357

Persistent link: https://www.econbiz.de/10011375990

The Impact of Regime-Switching Behavior of Price Volatility on Efficiency of the US Sovereign Debt Market

Masood, Omar - 2017

This article focuses on the asset price volatility at the stock exchange that result from the regime switching … behaviour in the market. This study is devoted to the question about how the asset price volatility affects the US sovereign … Regime-Switching ARCH (SWARCH) model to analyse data. The results show that there is high volatility regime in both the 2012 …

Persistent link: https://www.econbiz.de/10012944095

The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures...

Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683

Persistent link: https://www.econbiz.de/10011413991

The anatomy of sovereign risk contagion

Wu, Eliza; Erdem, Magdalena; Kalotychou, Elena; … - In: Journal of international money and finance 69 (2016), pp. 264-286

Persistent link: https://www.econbiz.de/10011712035

On the sovereign debt crisis : sovereign credit default swaps and their interaction with stock market indices

Boussada, Haifa; Prigent, Jean-Luc; Soumare, Ibrahima - In: Applied economics 55 (2023) 1, pp. 20-42

Persistent link: https://www.econbiz.de/10013494390

Stock market volatility and presidential election uncertainty : evidence from political futures markets

Bowes, David R. - In: The journal of applied business research 34 (2018) 1, pp. 143-150

Persistent link: https://www.econbiz.de/10011889825

MENA stock market volatility persistence : evidence before and after the financial crisis of 2008

Assaf, Ata - In: Research in international business and finance 36 (2016), pp. 222-240

Persistent link: https://www.econbiz.de/10011594406

A time-series postmortem on Eurozone financial integration and the debt crisis : modeling and policy implications

Shoesmith, Gary L. - In: International journal of business 19 (2014) 2, pp. 113-131

Persistent link: https://www.econbiz.de/10010362076

Impact of the religious festivity on the Tunis stock exchange

Chaouachi, Olfa - In: Investment management and financial innovations 18 (2021) 2, pp. 12-19

Persistent link: https://www.econbiz.de/10012698105