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Volatility spillovers between oil prices and the stock market under structural breaks

Ewing, Bradley T.; Malik, Farooq - In: Global finance journal 29 (2016), pp. 12-23

Persistent link: https://www.econbiz.de/10011714558

Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model

Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 331-350

Persistent link: https://www.econbiz.de/10008811307

Volatility and asymmetric dependence in Central and East European stock markets

Joseph, Nathan Lael; Vo, Thi Thuy Anh; Mobarek, Asma; … - In: Review of quantitative finance and accounting 55 (2020) 4, pp. 1241-1303

Persistent link: https://www.econbiz.de/10012304151

The effects of pandemic event on the stock exchange of Thailand

Panyagometh, Kamphol - In: Economies : open access journal 8 (2020) 4/90, pp. 1-21

and the influences of volatility. Using a sample of 46 stocks listed in the Stock Exchange of Thailand, in this paper, an … event study technique is developed considering idiosyncratic volatility to analyze the reactions of stock prices and market … volatility in Thailand during the period of the pandemic. The empirical results suggest that most securities in the Thai stock …

Persistent link: https://www.econbiz.de/10012311822

An empirical examination of investor sentiment and stock market volatility : evidence from India

Haritha P H; Rishad, Abdul - In: Financial innovation : FIN 6 (2020) 34, pp. 1-15

sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility. The results … explores the role of irrational investors’ sentiments in determining stock market volatility. By employing monthly data on … showed that irrational sentiment significantly causes excess market volatility. Moreover, the study indicates that the …

Persistent link: https://www.econbiz.de/10012296000

Time-varying correlation between oil and stock market volatilities : evidence from oil-importing and oil-exporting countries

Boldanov, Rustam; Degiannakis, Stavros; Filis, George - In: International review of financial analysis 48 (2016), pp. 209-220

Persistent link: https://www.econbiz.de/10011624489

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

The impact of the day-of-the-week on the VIX fear gauge

Qadan, Mahmod - In: International journal of economic perspectives : IJEP 7 (2013) 2, pp. 24-31

Persistent link: https://www.econbiz.de/10011586397

Predicting equity markets with digital online media sentiment : evidence from Markov-switching models

Nooijen, Steven J.; Broda, Simon A. - In: The journal of behavioral finance : a publication of … 17 (2016) 4, pp. 321-335

Persistent link: https://www.econbiz.de/10011698937

Africa stock markets cross-market linkages : a time-varying Dynamic Conditional Correlations (DCC-GARCH) approach

Marozva, Godfrey - In: The journal of applied business research 33 (2017) 2, pp. 321-328

Persistent link: https://www.econbiz.de/10011673887