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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27

:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk … growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …

Persistent link: https://www.econbiz.de/10012872753

A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-27

:01-2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk … growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …

Persistent link: https://www.econbiz.de/10013201388

Impact of introducing derivatives trading on volatilities of sectoral stock indices in India

Pal, Suparna Nandy; Chattopadhyay, Arup Kr. - In: Research bulletin / The Institute of Cost Accountants … 38 (2013), pp. 168-184

Persistent link: https://www.econbiz.de/10011419780

Indicator for describing bull and bear markets : asymmetry and persistence perspective

Natthinee Thampanya; Chanapol Pornpikul - In: Southeast Asian journal of economics 8 (2020) 1, pp. 39-81

Persistent link: https://www.econbiz.de/10012813428

Hedge fund return, volatility asymmetry, and systemic effects : a higher-moment factor-EGARCH model

Elyasiani, Elyas; Mansur, Iqbal - In: Journal of financial stability 28 (2017), pp. 49-65

Persistent link: https://www.econbiz.de/10011825507

Return volatilities and contagion transmission between Islamic and conventional bankers throughout the subprime crisis : evidence from the DCC-MGARCH model

Fakhfekh, Mohamed; Hachicha, Nejib - In: International journal of managerial and financial accounting 6 (2014) 2, pp. 133-145

Persistent link: https://www.econbiz.de/10010483052

Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries

Tanin, Tauhidul Islam; Hasanov, Akram Shavkatovich; … - In: Energy economics 115 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013541821

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

Persistent link: https://www.econbiz.de/10012019809

Measuring Euro Area Monetary Policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

Persistent link: https://www.econbiz.de/10012052805

The ugly and the bad: banking and housing crises strangle output permanently, ordinary recessions do not

Boysen-Hogrefe, Jens; Jannsen, Nils; Meier, Carsten-Patrick - 2010

This paper provides statistical evidence suggesting that in industrial countries, recessions that are associated with either banking crises or housing crises dampen output far more than ordinary recessions. Using a parametric panel framework that allows for a bounceback of the level of output in...

Persistent link: https://www.econbiz.de/10010265853

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