Narrow search
Showing 1 - 10 of 14,480
Cover Image
Intra-Day Realized Volatility for European and USA Stock Indices
Degiannakis, Stavros Antonios - 2019
within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide …, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized … volatilities is positive and extremely high, although for some periods it decreases dramatically. The correlation of volatilities …
Persistent link: https://www.econbiz.de/10012897936
Cover Image
Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks
Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37
this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …
Persistent link: https://www.econbiz.de/10014281494
Cover Image
A Flexible Dynamic Correlation Model
Baur, Dirk G. - 2009
shown that the covariance and correlation is not adequately specified under certain conditions. This implies that any … analysis of the persistence and the asymmetry of the correlation is difficult and potentially inaccurate. I therefore propose a … new Flexible Dynamic Correlation (FDC) model that parameterizes the conditional correlation directly and eliminates …
Persistent link: https://www.econbiz.de/10014089465
Cover Image
Conditional Correlated Jump Dynamics in Foreign Exchange
Chan, Wing Hong - 2005
This paper studies conditional correlated jump dynamics in foreign exchange returns using a new bivariate jump model with autoregressive jump intensities. Using daily data of German Mark against British Pound and Japanese Yen against the U.S. dollar, we find currency return correlations are...
Persistent link: https://www.econbiz.de/10014066295
Cover Image
From Black Wednesday to Brexit : macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom
Gottschalk, Sylvia - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2843-2873
Persistent link: https://www.econbiz.de/10014327598
Cover Image
A Comparative Analysis of the Informational Efficiency of the Fixed Income Market in Seven European Countries
Bariviera, Aurelio F. - 2015
This letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven European Union countries from July 1998 to November 2011. We compute the Hurst exponent and detect that the current financial crisis affects more the informational efficiency of the...
Persistent link: https://www.econbiz.de/10013013956
Cover Image
The impact of the Covid-19 pandemic on persistence in the European stock markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Arrese … - 2021
This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the...
Persistent link: https://www.econbiz.de/10012653308
Cover Image
Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets
Rühl, Tobias R. - 2014
In this study, we analyze the effect of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. We find that certain announcements are generally more important to the European stock market than others, and that the direction of news is...
Persistent link: https://www.econbiz.de/10013051476
Cover Image
Retail Trading in European Equity Markets
Aramian, Fatemeh; Comerton-Forde, Carole - 2023
Recent growth in retail trading in global equity markets has drawn considerable attention to the execution of retail flows. European market operators offer diverse retail trading mechanisms: both retail-specific mechanisms and all-to-all trading mechanisms that allow the interaction of all...
Persistent link: https://www.econbiz.de/10014362272
Cover Image
Discovering and disentangling effects of US macro-announcements in European stock markets
Rühl, Tobias R.; Stein, Michael - 2014
In this study, we analyze the effect of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. We find that certain announcements are generally more important to the European stock market than others, and that the direction of news is...
Persistent link: https://www.econbiz.de/10010399276