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subject:"Volatility"
isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of financial economics"
~isPartOf:"Journal of international financial markets, institutions & money"
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Journal of applied econometrics
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115
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ECONIS (ZBW)
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1
International stock market volatility : a global tail risk sight
Lu, Xinjie
;
Zeng, Qing
;
Zhong, Juandan
;
Zhu, Bo
- In:
Journal of international financial markets, …
91
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014494749
Saved in:
2
Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance
Liao, Wenting
;
Ma, Jun
;
Zhang, Chengsi
- In:
Journal of applied econometrics
38
(
2023
)
7
,
pp. 989-1006
Persistent link: https://www.econbiz.de/10014474382
Saved in:
3
The jump leverage risk premium
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
Saved in:
4
Return predictability with endogenous growth
Bandi, Federico M.
;
Bretscher, Lorenzo
;
Tamoni, Andrea
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014462652
Saved in:
5
Oil prices in the real economy
Shu, Haicheng
;
Spencer, Peter D.
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 878-897
Persistent link: https://www.econbiz.de/10014432198
Saved in:
6
International stock volatility predictability : new evidence from uncertainties
Wang, Jiqian
;
Ma, Feng
;
Wang, Tianyang
;
Wu, Lan
- In:
Journal of international financial markets, …
85
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014433290
Saved in:
7
Alarming contagion effects : the dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets
Wei, Yu
;
Wang, Yizhi
;
Vigne, Samuel A.
;
Ma, Zhenyu
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014482920
Saved in:
8
Do world stock markets "jump" together? : a measure of high-frequency volatility risk spillover networks
Zhou, Dong-hai
;
Liu, Xiao-xing
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-31
Persistent link: https://www.econbiz.de/10014483183
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9
European stock market volatility connectedness : the role of country and sector membership
Vidal-Llana, Xenxo
;
Uribe, Jorge
;
Guillén, Montserrat
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014245900
Saved in:
10
Average tail risk and aggregate stock returns
Dai, Yingtong
;
Harris, Richard D. F.
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014245903
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11
Spreading of cross-market volatility information : evidence from multiplex network analysis of volatility spillovers
Gong, Jue
;
Wang, Gang-Jin
;
Zhou, Yang
;
Zhu, You
;
Chi, Xie
; …
- In:
Journal of international financial markets, …
83
(
2023
),
pp. 1-27
Persistent link: https://www.econbiz.de/10014306328
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12
Dynamic connectedness between investors' sentiment and asset prices : a comparison between major markets in Europe and USA
Sakariyahu, Rilwan
;
Johan, Sofia Atiqah
;
Lawal, Rodiat
; …
- In:
Journal of international financial markets, …
89
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014490069
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13
Information gains from using short-dated options for measuring and forecasting volatility
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of applied econometrics
37
(
2022
)
2
,
pp. 368-391
Persistent link: https://www.econbiz.de/10013165240
Saved in:
14
Commodity prices and inflation risk
Garratt, Anthony
;
Petrella, Ivan
- In:
Journal of applied econometrics
37
(
2022
)
2
,
pp. 392-414
Persistent link: https://www.econbiz.de/10013165243
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15
Realized semibetas : disentangling "good" and "bad" downside risks
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of financial economics
144
(
2022
)
1
,
pp. 227-246
Persistent link: https://www.econbiz.de/10013407090
Saved in:
16
Common factors of commodity prices
Delle Chiaie, Simona
;
Ferrara, Laurent
;
Giannone, Domenico
- In:
Journal of applied econometrics
37
(
2022
)
3
,
pp. 461-476
Persistent link: https://www.econbiz.de/10013186690
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17
The size of good and bad volatility shocks does matter for spillovers
Bouri, Elie
;
Harb, Etienne
- In:
Journal of international financial markets, …
80
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013533155
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18
Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? : wavelet-based Granger-causality, asymmetric quantile regression a...
Karim, Muhammad Mahmudul
;
Kawsar, Najmul Haque
;
Ariff, …
- In:
Journal of international financial markets, …
77
(
2022
),
pp. 1-44
Persistent link: https://www.econbiz.de/10013357245
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19
The yen-dollar risk premium : a story of regime shifts in bond markets
Cho, Sungjun
;
Hyde, Stuart
;
Liu, Liu
- In:
Journal of international financial markets, …
78
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013357263
Saved in:
20
Dynamic relationship between exchange rates and stock prices for the G7 countries : a nonlinear ARDL approach
Nusair, Salah A.
;
Olson, Dennis O.
- In:
Journal of international financial markets, …
78
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013357282
Saved in:
21
Commodity return predictability : evidence from implied variance, skewness, and their risk premia
Finta, Marinela Adriana
;
Ornelas, José Renato Haas
- In:
Journal of international financial markets, …
79
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013358775
Saved in:
22
Have risk premia vanished?
Smith, Simon C.
;
Timmermann, Allan
- In:
Journal of financial economics
145
(
2022
)
2,2
,
pp. 553-576
Persistent link: https://www.econbiz.de/10013474424
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23
The cross-section of currency volatility premia
Della Corte, Pasquale
;
Kozhan, Roman
;
Neuberger, Anthony
- In:
Journal of financial economics
139
(
2021
)
3
,
pp. 950-970
Persistent link: https://www.econbiz.de/10012693854
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24
Intraday volatility smile : effects of fragmentation and high frequency trading on price efficiency
Ligot, Stephanie
;
Gillet, Roland
;
Veryzhenko, Iryna
- In:
Journal of international financial markets, …
75
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012820849
Saved in:
25
Return and volatility spillovers to African currencies markets
Atenga, Eric Martial Etoundi
;
Mougoué, Mbodja
- In:
Journal of international financial markets, …
73
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012802179
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26
Political uncertainty, COVID-19 pandemic and stock market volatility transmission
Apostolakis, George N.
;
Floros, Christos
;
Gillas, …
- In:
Journal of international financial markets, …
74
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012803182
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27
Long- and short-run components of factor betas : implications for stock pricing
Asgharian, Hossein
;
Christiansen, Charlotte
;
Hou, Ai Jun
; …
- In:
Journal of international financial markets, …
74
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012803274
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28
The conditional volatility premium on currency portfolios
Byrne, Joseph P.
;
Sakemoto, Ryuta
- In:
Journal of international financial markets, …
74
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012803308
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29
Is there a risk-return tradeoff in the corporate bond market? : time-series and cross-sectional evidence
Bai, Jennie
;
Bali, Turan G.
;
Wen, Quan
- In:
Journal of financial economics
142
(
2021
)
3
,
pp. 1017-1037
Persistent link: https://www.econbiz.de/10012873314
Saved in:
30
Reconstructing the yield curve
Liu, Yan
;
Wu, Jing Cynthia
- In:
Journal of financial economics
142
(
2021
)
3
,
pp. 1395-1425
Persistent link: https://www.econbiz.de/10012875953
Saved in:
31
Treasury yield implied volatility and real activity
Cremers, Martijn
;
Fleckenstein, Matthias
;
Gandhi, Priyank
- In:
Journal of financial economics
140
(
2021
)
2
,
pp. 412-435
Persistent link: https://www.econbiz.de/10012650450
Saved in:
32
Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian
;
Giglio, Stefano
;
Kelly, Bryan T.
- In:
Journal of financial economics
142
(
2021
)
1
,
pp. 23-45
Persistent link: https://www.econbiz.de/10012650655
Saved in:
33
Volatility models for cryptocurrencies and applications in the options market
Chi, Yeguang
;
Hao, Wenyan
- In:
Journal of international financial markets, …
75
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012820318
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34
Macro risks and the term structure of interest rates
Bekaert, Geert
;
Engstrom, Eric
;
Ermolov, Andrey
- In:
Journal of financial economics
141
(
2021
)
2
,
pp. 479-504
Persistent link: https://www.econbiz.de/10013259807
Saved in:
35
Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries
Thampanya, Natthinee
;
Wu, JunJie
;
Nasir, Muhammad Ali
; …
- In:
Journal of international financial markets, …
65
(
2020
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012495783
Saved in:
36
The more the Merrier? : the reaction of euro area stock markets to new members
Grigaliuniene, Zana
;
Celov, Dmitrij
;
Hartwell, …
- In:
Journal of international financial markets, …
66
(
2020
),
pp. 1-28
Persistent link: https://www.econbiz.de/10012495842
Saved in:
37
Examining stress in Asian currencies : a perspective offered by high frequency financial market data
Dungey, Mardi H.
;
Matei, Marius
;
Sirimon Treepongkaruna
- In:
Journal of international financial markets, …
67
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012495857
Saved in:
38
Distant or close cousins : connectedness between cryptocurrencies and traditional currencies volatilities
Andrada Félix, Julián
;
Fernandez-Perez, Adrian
; …
- In:
Journal of international financial markets, …
67
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012495868
Saved in:
39
The impact of jumps on carry trade returns
Lee, Suzanne S.
;
Wang, Minhong
- In:
Journal of financial economics
131
(
2019
)
2
,
pp. 433-455
Persistent link: https://www.econbiz.de/10012131572
Saved in:
40
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris
;
Gourier, Elise
;
Leippold, Markus
- In:
Journal of financial economics
131
(
2019
)
3
,
pp. 593-618
Persistent link: https://www.econbiz.de/10012133017
Saved in:
41
Exchange rate comovements, hedging and volatility spillovers on new EU forex markets
Kočenda, Evžen
;
Moravcová, Michala
- In:
Journal of international financial markets, …
58
(
2019
),
pp. 42-64
Persistent link: https://www.econbiz.de/10012127823
Saved in:
42
Intraday effects of the currency market
Khademalomoom, Siroos
;
Narayan, Paresh Kumar
- In:
Journal of international financial markets, …
58
(
2019
),
pp. 65-77
Persistent link: https://www.econbiz.de/10012127824
Saved in:
43
Central bank announcements and realized volatility of stock markets in G7 countries
Lyócsa, Štefan
;
Molnár, Peter
;
Plíhal, Tomáš
- In:
Journal of international financial markets, …
58
(
2019
),
pp. 117-135
Persistent link: https://www.econbiz.de/10012127844
Saved in:
44
Carry trades and endogenous regime switches in exchange rate volatility
Cho, Dooyeon
;
Han, Heejoon
;
Lee, Na Kyeong
- In:
Journal of international financial markets, …
58
(
2019
),
pp. 255-268
Persistent link: https://www.econbiz.de/10012127854
Saved in:
45
Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data
Stenfors, Alexis
;
Susai, Masayuki
- In:
Journal of international financial markets, …
59
(
2019
),
pp. 36-57
Persistent link: https://www.econbiz.de/10012127871
Saved in:
46
Does the volatility of volatility risk forecast future stock returns?
Bu, Ruijun
;
Fu, Xi
;
Jawadi, Fredj
- In:
Journal of international financial markets, …
61
(
2019
),
pp. 16-36
Persistent link: https://www.econbiz.de/10012128269
Saved in:
47
Sovereign bond return prediction with realized higher moments
Kinateder, Harald
;
Papavassiliou, Vassilios G.
- In:
Journal of international financial markets, …
62
(
2019
),
pp. 53-73
Persistent link: https://www.econbiz.de/10012262440
Saved in:
48
Exogenous drivers of Bitcoin and Cryptocurrency volatility : a mixed data sampling approach to forecasting
Walther, Thomas
;
Klein, Tony
;
Bouri, Elie
- In:
Journal of international financial markets, …
63
(
2019
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012263290
Saved in:
49
Volatility and the cross-section of corporate bond returns
Chung, Kee H.
;
Wang, Junbo
;
Wu, Chunchi
- In:
Journal of financial economics
133
(
2019
)
2
,
pp. 397-417
Persistent link: https://www.econbiz.de/10012165603
Saved in:
50
Historical high and stock index returns : application of the regression kink model
Chang, Shu-Lien
;
Chien, Cheng-Yi
;
Lee, Hsiu-Chuan
;
Lin, …
- In:
Journal of international financial markets, …
52
(
2018
),
pp. 48-63
Persistent link: https://www.econbiz.de/10011986191
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