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Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models

Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48

Persistent link: https://www.econbiz.de/10009155466

Managing portfolio risk during crisis times : a dynamic conditional correlation perspective

Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251

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Modeling jumps and volatility of the indian stock market using high-frequency data

Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics 14 (2016) 1, pp. 137-150

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The impact of sentiment and attention measures on stock market volatility

Audrino, Francesco; Sigrist, Fabio Roman Albert; … - In: International journal of forecasting 36 (2020) 2, pp. 334-357

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Measuring the effects of unconventional policies on stock market volatility

Lacava, Demetrio; Gallo, Giampiero M.; Otranto, Edoardo - 2020 - Prima edizione

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Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange

Gurgul, Henryk; Hastenteufel, Jessica; Wójtowicz, Tomasz - In: Statistics in transition : an international journal of … 22 (2021) 4, pp. 41-58

Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes...

Persistent link: https://www.econbiz.de/10012818165

Long-run comovements in East Asian stock market volatility

Truchis, Gilles de; Keddad, Benjamin - In: Open economies review 27 (2016) 5, pp. 969-986

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Impact of the FII's Indian equity investment behavior on the BRIC countries' stock market volatility during the Subprime Crisis : an empirical investigation

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Persistent link: https://www.econbiz.de/10011348110

Market integration and volatility spillover across major East Asian stock and Bitcoin markets : an empirical assessment

Zeng, Hongjun; Ahmed, Abdullahi Dahir - In: International journal of managerial finance : IJMF 19 (2023) 4, pp. 772-802

Persistent link: https://www.econbiz.de/10014326092

A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market

Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014229238