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BRICH Dynamic Conditional Correlations, Contagion, and Portfolio Diversification Under the Devolatized Returns Concept
Stavroyiannis, Stavros - 2013
Financial liberalization has offered global investors with new investment opportunities via international portfolio diversification. Proper investment planning and portfolio diversification require well specified correlations between the assets under consideration. In this paper we apply the DCC...
Persistent link: https://www.econbiz.de/10013072719
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Fractional integration and volatility transmission between real estate and stock markets : novel evidence from a FIGARCH-BEKK approach
Kyriakou, Maria I.; Koulakiotis, Athanasios; Kiohos, … - In: The journal of real estate finance and economics 66 (2023) 4, pp. 939-962
Persistent link: https://www.econbiz.de/10014258997
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...
Persistent link: https://www.econbiz.de/10011482859
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
Persistent link: https://www.econbiz.de/10011536693
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Financial crisis, liquidity and dynamic linkages between large and small stocks : evidence from the Athens Stock Exchange
Koulakiotis, Athanasios; Babalos, Vassilios; … - In: Journal of international financial markets, … 40 (2016), pp. 46-62
Persistent link: https://www.econbiz.de/10011475828
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...
Persistent link: https://www.econbiz.de/10011479824
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Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis : A VAR-GARCH-in-mean Analysis
Babalos, Vassilios - 2016
The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...
Persistent link: https://www.econbiz.de/10012987395
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Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis : A VAR-GARCH-In-Mean Analysis
Babalos, Vassilios - 2016
The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...
Persistent link: https://www.econbiz.de/10012990997
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Did Baltic stock markets offer diversification benefits during the recent financial turmoil? : novel evidence from a nonparametric causality-in-quantiles test
Babalos, Vassilios; Balcilar, Mehmet; Loate, Tumisang B.; … - In: Empirica : journal of european economics 45 (2018) 1, pp. 29-47
Persistent link: https://www.econbiz.de/10011965787
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Equity fund flows and stock market returns in the USA before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - In: Empirical economics : a quarterly journal of the … 60 (2021) 2, pp. 539-555
Persistent link: https://www.econbiz.de/10012490280