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Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - In: Journal of empirical finance 18 (2011) 1, pp. 147-159

Persistent link: https://www.econbiz.de/10009301149

Exogenous variables in dynamic conditional correlation models for financial markets

Schopen, Jan-Hendrik - 2012

Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this …

Persistent link: https://www.econbiz.de/10009698136

Tail relation between return and volume in the US stock market : an analysis based on extreme value theory

Longin, François M.; Pagliardi, Giovanni - In: Economics letters 145 (2016), pp. 252-254

Persistent link: https://www.econbiz.de/10011618837

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

Persistent link: https://www.econbiz.de/10012486245

The role of uncertainty in forecasting volatility comovements across stock markets

Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - In: Economic modelling 125 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014463541

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … Index, Consumer Goods Index, Oil & Gas Index, NSE 30 Index, Insurance Index, Industrial Goods Index, Pension Index, and … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130