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Macro news and bond yield spreads in the euro area

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Return and volatility spillovers to industry returns : does EMU play a role?

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Return and volatility spillovers to industry returns : does EMU play a role?

Kaltenhäuser, Bernd - 2002

aggregate shocks. Volatility spillovers proved to be small and volatile. …

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Measuring return and volatility spillovers in Euro area financial markets

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Macro news and stock returns in the euro area : a VAR-GARCH-in-mean analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …

Persistent link: https://www.econbiz.de/10010399794

Macro news and stock returns in the euro area : a VAR-GARCH-in-mean analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

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Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility … has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always …

Persistent link: https://www.econbiz.de/10010383808

Macro news and bond yield spreads in the euro area

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