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Modelling long memory in stock market volatility : a fractionally integrated generalised ARCH approach

Psaradakis, Zacharias G.; Sola, Martin - 1995

Persistent link: https://www.econbiz.de/10000930379

Detecting periodically collapsing bubbles : a Markov-switching unit root test

Hall, Stephen G.; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of applied econometrics 14 (1999) 2, pp. 143-154

Persistent link: https://www.econbiz.de/10001387376

An analysis of seasonality in the UK equity market

Clare, Andrew D. - In: The economic journal : the journal of the Royal … 105 (1995) 429, pp. 398-409

Persistent link: https://www.econbiz.de/10001179118

A simple method of testing for cointegration subject to multiple regime changes

Gabriel, Vasco J.; Psaradakis, Zacharias G.; Sola, Martin - In: Economics letters 76 (2002) 2, pp. 213-221

Persistent link: https://www.econbiz.de/10001690295

On Markov error-correction models, with an application to stockprices and dividends

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - In: Journal of applied econometrics 19 (2004) 1, pp. 69-88

Persistent link: https://www.econbiz.de/10001924673

Rational bubbles : too many to be true?

Caravello, Tomas E.; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of economic dynamics & control 151 (2023), pp. 1-27

Persistent link: https://www.econbiz.de/10014478681

Feedbacks between stock prices and exchange rates in the East Asian markets

Caporale, Guglielmo Maria; Pittis, Nikitas; Spagnolo, Nicola - 2000

Persistent link: https://www.econbiz.de/10001615079

Asset prices and output growth volatility : the effects of financial crises

Caporale, Guglielmo Maria; Spagnolo, Nicola - In: Economics letters 79 (2003) 1, pp. 69-74

Persistent link: https://www.econbiz.de/10001741273

Testing for causality-in-variance : an application to the East Asian markets

Caporale, Guglielmo Maria; Pittis, Nikitas; Spagnolo, Nicola - In: International journal of finance & economics : IJFE 7 (2002) 3, pp. 235-245

Persistent link: https://www.econbiz.de/10001694049

The Impact of Business and Political News on the GCC Stock Markets

Al-Maadid, Alanoud - 2019

This paper investigates the impact of business and political news on stock market returns in the Gulf Cooperation Council (GCC) countries. For this purpose, it employs a Markov switching model including a separate index for each of the two categories of news considered. The results indicate the...

Persistent link: https://www.econbiz.de/10012892232