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Realized skewness and the short-term predictability for aggregate stock market volatility
Zhang, Zhikai; He, Mengxi; Zhang, Yaojie; Wang, Yudong - In: Economic modelling 103 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10013163911
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The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - In: Economic modelling 49 (2015), pp. 407-418
Persistent link: https://www.econbiz.de/10011439598
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Decoding market reactions : the certification role of EU-wide stress tests
Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - In: Economic modelling 139 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10015189811
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Sentiment approach to negative expected return in the stock market
Yang, Chunpeng; Yan, Wei; Zhang, Rengui - In: Economic modelling 35 (2013), pp. 30-34
Persistent link: https://www.econbiz.de/10010258585
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Forecasting volatility in the Chinese stock market under model uncertainty
Li, Yong; Huang, Wei-ping; Zhang, Jie - In: Economic modelling 35 (2013), pp. 231-234
Persistent link: https://www.econbiz.de/10010259459
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The momentum effect on Chinese real estate stocks : evidence from firm performance levels
Lee, Jen-sin; Huang, Gow-liang; Kuo, Chin-tai; Lee, … - In: Economic modelling 29 (2012) 6, pp. 2392-2406
Persistent link: https://www.econbiz.de/10009673715
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Oil price risk in the Spanish stock market : an industry perspective
Moya-Martínez, Pablo; Ferrer-Lapeña, Román; … - In: Economic modelling 37 (2014), pp. 280-290
Persistent link: https://www.econbiz.de/10010417692
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416
Persistent link: https://www.econbiz.de/10008825760
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Detection of high and low states in stock market returns with MCMC method in a Markov switching model
Rey, Clément; Rey, Serge; Viala, Jean-Renaud - In: Economic modelling 41 (2014), pp. 145-155
Persistent link: https://www.econbiz.de/10010438390
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Policy risks, technological risks and stock returns : new evidence from the US stock market
Apergēs, Nikolaos - In: Economic modelling 51 (2015), pp. 359-365
Persistent link: https://www.econbiz.de/10011476052