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Evolvement of uniformity and volatility in the stressed global financial village

Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; … - 2011

relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … interdependencies between these markets and the developing "eastern'' markets (India and China) are very volatile and with noticeable …

Persistent link: https://www.econbiz.de/10009354737

Shift contagion with endogenously detected volatility breaks : the case of CEE stock markets

Baumöhl, E.; Lyócsa, Š.; Výrost, T. - In: Applied economics letters 18 (2011) 10/12, pp. 1103-1109

Persistent link: https://www.econbiz.de/10009317541

Intra-Daily Volatility Spillovers between the US and German Stock Markets

Golosnoy, Vasyl - 2012

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

Persistent link: https://www.econbiz.de/10013106045

Intra-daily volatility spillovers between the US and German stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - 2012

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

Persistent link: https://www.econbiz.de/10009539877

Banks, the IMF, and the Asian crisis

Kho, Bong-Chan; Stulz, René M. - In: Pacific-Basin finance journal 8 (2000) 2, pp. 177-216

Persistent link: https://www.econbiz.de/10001490435

Does correlation between stock returns really increase during turbulent period?

Chesnay, François; Jondeau, Eric - 2000

Persistent link: https://www.econbiz.de/10001496182

Does correlation between stock returns really increase during turbulent periods?

Chesnay, François; Jondeau, Eric - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 1, pp. 53-80

Persistent link: https://www.econbiz.de/10001571084

Banks, the IMF, and the Asian crises

Kho, Bong-Chan; Stulz, René M. - 1999

Persistent link: https://www.econbiz.de/10001411534

Wann beginnt die Krise? : Ein Blick auf Finanzmarktrenditen

Locarek-Junge, Hermann; Straßberger, Mario; Wagner, … - In: Krisenkommunikation : 5. Dresdner Kolloquium an der …, (pp. 142-152). 2003

Persistent link: https://www.econbiz.de/10002063628

Does the U.S. extreme indicator matter in stock markets? : international evidence

Jing, Xiaozhen; Xu, Dezhong; Li, Bin; Singh, Tarlok - In: Financial innovation : FIN 10 (2024), pp. 1-27

We propose a new predictor - the innovation in the daily return minimum in the U.S. stock market () - for predicting international stock market returns. Using monthly data for a wide range of 17 MSCI international stock markets during the period spanning over half a century from January 1972 to...

Persistent link: https://www.econbiz.de/10015361591