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Billings, Mary Brooke; Jennings, Robert H.; Lev, Baruch - In: Journal of accounting & economics 60 (2015) 2/3, pp. 161-180

Persistent link: https://www.econbiz.de/10011437528

ECB announcements and stock market volatility

Neugebauer, Frederik - 2019

This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday data for 8 different stock market indices. Second, a range...

Persistent link: https://www.econbiz.de/10012286218

The impact of US macroeconomic news announcements on Chinese commodity futures

Cai, Haidong; Ahmed, Shamim; Jiang, Ying; Liu, Xiaoquan - In: Quantitative finance 20 (2020) 12, pp. 1927-1966

Persistent link: https://www.econbiz.de/10012313529

Spillover and comovement : the contagion mechanism of systemic risks between the US and Chinese stock markets

Liu, Yaqing; Ouyang, Hongbing - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 109-121

Persistent link: https://www.econbiz.de/10010465130

Cross-category, trans-Pacific spillovers of policy uncertainty and financial market volatility

Thiem, Christopher - In: Open economies review 31 (2020) 2, pp. 317-342

Persistent link: https://www.econbiz.de/10012229748

A multivariate analysis of United States and global real estate investment trusts

Begiazi, Kyriaki; Asteriou, Dimitrios; Pilbeam, Keith - In: International economics and economic policy : IEEP 13 (2016) 3, pp. 467-482

Persistent link: https://www.econbiz.de/10011714591

Winners and losers from price-level volatility : money taxation and information frictions

Cozzi, Guido; Goenka, Aditya; Kang, Minwook; Shell, Karl - In: Sunspots and non-linear dynamics : essays in honor of …, (pp. 287-402). 2017

Persistent link: https://www.econbiz.de/10011850418

European bond markets and macroeconomic news

Abad Romero, Pilar; Chuliá, Helena - In: Investigaciones en seguros y gestión del riesgo: …, (pp. 39-53). 2013

Persistent link: https://www.econbiz.de/10010466950

Univariate GARCH model generated volatility skews for the CIVETS stock indices

Labuschagne, Coenraad C. A.; Oberholzer, Niel; Venter, … - In: Advances in applied economic research : proceedings of …, (pp. 333-347). 2017

Persistent link: https://www.econbiz.de/10011744293

Volatility linkages and co-movements between international stocks and the sukuk market

Dreassi, Alberto; Miani, Stefano; Paltrinieri, Andrea; … - In: Bank funding, financial instruments and decision-making …, (pp. 31-61). 2016

Persistent link: https://www.econbiz.de/10011619504