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Mergers and acquisitions and market volatility of Brazilian banking stocks : an application of GARCH models

Pessanha, Gabriel Rodrigo Gomes; Bruhn, Nádia Campos … - In: Latin American business review : journal of the … 17 (2016) 4, pp. 333-357

Persistent link: https://www.econbiz.de/10011649372

Event study of the crude oil futures market : a mixed event response model

Karali, Berna; Ye, Shiyu; Ramírez, Octavio A. - In: American journal of agricultural economics 101 (2019) 3, pp. 960-985

Persistent link: https://www.econbiz.de/10012114862

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

Persistent link: https://www.econbiz.de/10012131511

News and network structures in equity market volatility

Clements, Adam; Liao, Yin - 2016

Persistent link: https://www.econbiz.de/10011777149

Starting from a blank page? : semantic similarity in central bank communication and market volatility

Ehrmann, Michael; Talmi, Jonathan - 2017

. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility. …

Persistent link: https://www.econbiz.de/10011637411

Media attention and crude oil volatility : is there any 'new' news in the newspaper?

Aromi, D.; Clements, Adam - 2018

Persistent link: https://www.econbiz.de/10012431188

Building news measures from textual data and an application to volatility forecasting

Caporin, Massimiliano; Poli, Francesco - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46

information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …

Persistent link: https://www.econbiz.de/10011711085

Macroeconomic news and intraday seasonal volatility in the cryptocurrency markets

Ben Omrane, Walid; Houidi, Fatma; Savaser, Tanseli - In: Applied economics 56 (2024) 38, pp. 4594-4610

Persistent link: https://www.econbiz.de/10014560361

Linking asset prices to news without direct asset mentions

Avioz, Ilanit; Kedar-Levy, Haim; Pungulescu, Crina; … - In: Applied economics letters 30 (2023) 20, pp. 2907-2912

Persistent link: https://www.econbiz.de/10014414038

The Impact of the Corona Crisis on the worldwide stock markets : an empirical analysis with cross national event study approach

Fischer, Annika; Opala, Noel; Reuse, Svend; Svoboda, Martin - In: International journal of economics and financial issues … 12 (2022) 6, pp. 162-172

Persistent link: https://www.econbiz.de/10014227863