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Macroeconomic and financial determinants of the volatility of corporate bond returns
Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly journal of finance 5 (2015) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011414145
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Do stock markets lead or lag macroeconomic variables? : evidence from select European countries
Camilleri, Silvio John; Scicluna, Nicolanne; Bai, Ye - In: The North American journal of economics and finance : a … 48 (2019), pp. 170-186
Persistent link: https://www.econbiz.de/10012120227
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Estimating bull and bear betas for the Nigerian stock market using logistic smooth threshold model
Tumala, Mohammed M.; Yaya, OlaOluwa S. - In: CBN journal of applied statistics 6 (2015) 1, pp. 263-284
In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall...
Persistent link: https://www.econbiz.de/10011473527
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Time-varying industry beta in Indian stock market and forecasting errors
Das, Sudipta; Barai, Parama - In: International journal of emerging markets 10 (2015) 3, pp. 521-534
Persistent link: https://www.econbiz.de/10011489295
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Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972
Persistent link: https://www.econbiz.de/10012616913
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Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Jawadi, Fredj; Louhichi, Wael; Cheffou, Abdoulkarim Idi; … - In: Decision making and risk/return optimization in …, (pp. 275-295). 2019
Persistent link: https://www.econbiz.de/10012134816
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Stock market price indices modelling by a small scale Bayesian VAR : the case of British FTSE and German DAX index
Bikár, Miloš; Hodula, Martin - In: Ekonomický časopis : časopis pre ekonomickú … 64 (2016) 8, pp. 737-750
Persistent link: https://www.econbiz.de/10011582851
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Revisiting the bull and bear markets notions in the Tunisian stock market : new evidence from multi-state duration-dependence Markov-switching models
Bejaoui, Azza; Karaa, Adel - In: Economic modelling 59 (2016), pp. 529-545
Persistent link: https://www.econbiz.de/10011647922
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Forecasting stock market volatility : the role of technical variables
Liu, Li; Pan, Zhiyuan - In: Economic modelling 84 (2020), pp. 55-65
Persistent link: https://www.econbiz.de/10012210290
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Unveiling the linkages between emerging stock market indices and cryptocurrencies
Ahmed, Wajid Shakeel; Mehmood, Ahsan; Sheikh, Talha; … - In: Asian Academy of Management journal 27 (2022) 2, pp. 189-209
instead of prices. Like, conditional volatility-based estimation uncovers evidence of mean reversion in univariate analysis as …
Persistent link: https://www.econbiz.de/10014285279