This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the S&P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the...

We estimate quantile autoregression (QAR) models to analyze variations in the autoregressive coefficients of 55 international stock index returns and demonstrate that it is important to allow the autoregressive parameters to vary with quantiles. The empirical results identify distinctively...

Purpose Financial theory suggests that with increasing labor income risk, the reluctance of households to hold stocks increases. Therefore, this paper aims to investigate the determinants of a household’s decision on whether to invest in risky financial assets. Design/methodology/approach...

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

This article investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500 and the Nikkei 225. Devolatized returns and realized volatilities are modelled separately...

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us to study the behavior of extreme quantiles associated with large...

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

We use transfer entropy to quantify information flows between financial mar- kets and propose a suitable bootstrap procedure for statistical inference. Trans- fer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. Our approach allows to...