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Asymmetric connectedness on the US stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

Persistent link: https://www.econbiz.de/10010509638

Political heterogeneity, subjective optimism, and stock market outcomes

Bonaparte, Yosef; Christie-David, Rohan; Koslowsky, David - In: Applied economics 54 (2022) 13, pp. 1487-1506

Persistent link: https://www.econbiz.de/10012875387

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

Persistent link: https://www.econbiz.de/10011903723

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

Persistent link: https://www.econbiz.de/10011995731

Long run volatility forecasting for individual stocks in a one factor model

Engle, Robert F.; Lee, Gary G. J. - 1993

Persistent link: https://www.econbiz.de/10000877958

Der Overreaction-Effekt am deutschen Aktienmarkt : Einordnung und empirische Untersuchung der langfristigen Überreaktion

Meyer, Bernd - 1994

Persistent link: https://www.econbiz.de/10000418302

The long-run risks model and aggregate asset prices : an empirical assessment

Beeler, Jason; Campbell, John Y. - 2009

Persistent link: https://www.econbiz.de/10003822202

The relation between macroeconomic variables and stock market returns using multivariate methods

Grigoris, Michailidis; Stavros, Tsopogiou - In: International journal of economics 2 (2008) 1, pp. 19-43

Persistent link: https://www.econbiz.de/10003891378

Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303

Persistent link: https://www.econbiz.de/10003870055

Long-memory and level shifts in the volatility of stock market return indices

Perron, Pierre; Qu, Zhongjun - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 2, pp. 275-290

Persistent link: https://www.econbiz.de/10008736221

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