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~person:"Atilgan, Yigit"
~person:"Kočenda, Evžen"
~person:"Plastun, Alex"
~subject:"Aktienmarkt"
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ECONIS (ZBW)
30
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1
Gold, oil, and stocks : dynamic correlations
Baruník, Jozef
;
Kočenda, Evžen
;
Vácha, Lukáš
-
2015
in specific correlation
dynamics
. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010515402
Saved in:
2
Gold, oil, and stocks
Barunik, Jozef
;
Kočenda, Evžen
;
Vácha, Lukáš
-
2014
in specific correlation
dynamics
. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010407524
Saved in:
3
Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?
Barunik, Jozef
;
Kočenda, Evžen
;
Vácha, Lukáš
-
2014
financial markets. Yet, the large literature studying
information
transmission mechanisms ignores the fact that bad and good … transmission of
information
in an aggregated portfolio. We show that bad and good volatility is transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010407529
Saved in:
4
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. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...
Persistent link: https://www.econbiz.de/10010509638
Saved in:
5
Price Jumps on European Stock Markets
Hanousek, Jan
-
2013
We analyze the
dynamics
of price jumps and the impact of the European debt crisis using the high-frequency data … not uniformly increase during a period of financial distress. However, there do exist differences in price jump
dynamics
…
dynamics
…
Persistent link: https://www.econbiz.de/10013071459
Saved in:
6
Networks of Volatility Spillovers Among Stock Markets
Baumohl, Eduard
-
2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10012954361
Saved in:
7
Asymmetric Connectedness of Stocks : How Does Bad and Good Volatility Spill over the U.S. Stock Market?
Baruník, Jozef
-
2018
In this paper, we examine how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...
Persistent link: https://www.econbiz.de/10012938400
Saved in:
8
Asymmetric Connectedness on the U.S. Stock Market : Bad and Good Volatility Spillovers
Baruník, Jozef
-
2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...
Persistent link: https://www.econbiz.de/10013023200
Saved in:
9
Price Jump Indicators : Stock Market Empirics During the Crisis
Novotny, Jan
-
2013
We analyze the behavior and performance of multiple price jump indicators across markets and over time. By using high-frequency stock market data we identify clusters of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II...
Persistent link: https://www.econbiz.de/10013078483
Saved in:
10
Gold, Oil, and Stocks
Baruník, Jozef
-
2014
in specific correlation
dynamics
. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10013063358
Saved in:
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