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macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The …
Persistent link: https://www.econbiz.de/10012463390
Persistent link: https://www.econbiz.de/10011636643
This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …
Persistent link: https://www.econbiz.de/10014501248
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …
Persistent link: https://www.econbiz.de/10014284290
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This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...
Persistent link: https://www.econbiz.de/10013110266
This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...
Persistent link: https://www.econbiz.de/10003970286
This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev …
Persistent link: https://www.econbiz.de/10013132544
This paper empirically investigates the volatility pattern of Indian stock market based on time series data which … Conditional Heteroscedastic (GARCH). For capturing the symmetric and asymmetric volatility GARCH-M (1, 1) and EGARCH (1, 1 … TGARCH (1, 1) models show that negative shocks have a significant effect on conditional variance (volatility) …
Persistent link: https://www.econbiz.de/10012980061
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small … pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK-GARCH (1,1) model, while a VAR … spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different …
Persistent link: https://www.econbiz.de/10012804860