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Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study

Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

Persistent link: https://www.econbiz.de/10012695346

Correlation regimes in international equity and bond returns

Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410

Persistent link: https://www.econbiz.de/10012793476

Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis : evidence from the Markov switching approach

Just, Małgorzata; Echaust, Krzysztof - In: Finance research letters 37 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012485169

Co-movements between US and UK stock prices : the role of time-varying conditional correlations

Aslanidis, Nektarios; Osborn, Denise R.; Sensier, Marianne - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 366-380

Persistent link: https://www.econbiz.de/10008811289

Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis

Kim, Hyun Seok; Min, Hong-ghi; McDonald, Judith Ann - In: Economic modelling 59 (2016), pp. 9-22

Persistent link: https://www.econbiz.de/10011647590

Estimation of volatility and correlation with multivariate generalized autoregressive conditional heteroskedasticity models : an application to Moroccan stock markets

Belasri, Yassine; Ellaia, Rachid - In: International journal of economics and financial issues … 7 (2017) 2, pp. 384-396

Persistent link: https://www.econbiz.de/10011789279

What drives dynamic comovements of stock markets in the Pacific Basin region? : a quantile regression approach

Lee, Hyunchul; Seung Mo Cho - In: International review of economics & finance : IREF 51 (2017), pp. 314-327

Persistent link: https://www.econbiz.de/10011754455

Effects of MILA on their stock markets : an empirical analysis on market activity and dynamic correlations

Muñoz-Mendoza, Jorge Andrés; Sepúlveda-Yelpo, Sandra … - In: International journal of emerging markets 17 (2022) 2, pp. 574-599

Persistent link: https://www.econbiz.de/10012886402

High frequency correlation dynamics and day-of-the-week effect : a score-driven approach in an emerging market stock exchange

Bahcivan, Hulusi; Karahan, Cenk C. - In: International review of financial analysis 80 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013366247

The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market

Gao, Zhenbin; Zhang, Jie - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014483735