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Jump Spillover in International Equity Markets

Asgharian, Hossein; Bengtsson, Christoffer - In: Journal of Financial Econometrics 4 (2006) 2, pp. 167-203

In this article we study jump spillover effects between a number of country equity indexes. In order to identify the latent historical jumps of each index, we use a Bayesian approach to estimate a jump-diffusion model on each index. We look at the simultaneous jump intensities of pairs of...

Persistent link: https://www.econbiz.de/10005564804

Product market competition and stock return dependence

Asgharian, Hossein; Liu, Lu - In: Finance research letters 50 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10014233977

Cross-border asset holdings and comovements in sovereign bond markets

Asgharian, Hossein; Liu, Lu; Larsson, Marcus - In: Journal of international money and finance 86 (2018), pp. 189-206

Persistent link: https://www.econbiz.de/10012000493

Macro-finance determinants of the long-run stock-bond correlation : the DCC-MIDAS specification

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 617-642

Persistent link: https://www.econbiz.de/10011623696

Effects of macroeconomic uncertainty on the stock and bond markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16

Persistent link: https://www.econbiz.de/10011552317

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

The effect of uncertainty on stock market volatility and correlation

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Journal of banking & finance 154 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014486544

Systemic risk and centrality : The role of interactions

Asgharian, Hossein; Krygier, Dominika; Vilhelmsson, Anders - In: European Financial Management 28 (2021) 5, pp. 1199-1226

Persistent link: https://www.econbiz.de/10012809544

Home bias among European investors from a Bayesian perspective

Asgharian, Hossein; Hansson, Bjorn - In: Journal of International Financial Markets, … 16 (2006) 5, pp. 397-410

Persistent link: https://www.econbiz.de/10005403445

The explanatory role of factor portfolios for industries exposed to foreign competition: evidence from the Swedish stock market

Asgharian, Hossein; Hansson, Bjorn - In: Journal of International Financial Markets, … 13 (2003) 4, pp. 325-353

Persistent link: https://www.econbiz.de/10005408460