Does US infectious disease equity market volatility index predict G7 stock returns? : evidence beyond symmetry
Year of publication: |
2023
|
---|---|
Authors: | Gohar, Raheel ; Salman, Asma ; Uche, Emmanuel ; Derindag, Omer Faruk ; Chang, Bisharat Hussain |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4960, ZDB-ID 2515861-2. - Vol. 18.2023, 2, Art.-No. 2250028, p. 1-16
|
Subject: | G7 stock markets | ID-EMV index | Quantile cointegration | quantile-on-quantile regression | Schätzung | Estimation | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Börsenkurs | Share price | USA | United States | Volatilität | Volatility | Kointegration | Cointegration | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | ARCH-Modell | ARCH model |
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