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Momentum trading, mean reversal and overreaction in Chinese stock market

Wu, Yangru - In: Review of quantitative finance and accounting 37 (2011) 3, pp. 301-323

Persistent link: https://www.econbiz.de/10009301286

The Information Content of the Term Structure of Risk-Neutral Skewness

Borochin, Paul - 2018

We seek to reconcile the debate about the price effect of risk-neutral skewness (RNS) on stocks. We document positive predictability from short-term skewness, consistent with informed-trading demand, and negative predictability from long-term skewness, consistent with skewness preference. A term...

Persistent link: https://www.econbiz.de/10012933957

The information content of the term structure of risk-neutral skewness

Borochin, Paul; Chang, Hao; Wu, Yangru - In: Journal of empirical finance 58 (2020), pp. 247-274

Persistent link: https://www.econbiz.de/10012430679

Volatility transmission and asymmetric linkages between the stock and foreign exchange markets : a sectoral analysis

Fu, Tian Yong; Holmes, Mark J.; Choi, Daniel F. S. - In: Studies in economics and finance 28 (2011) 1, pp. 36-50

Persistent link: https://www.econbiz.de/10009007562

Does dollarization alleviate or aggravate exchange rate volatility?

Mengesha, Lula G.; Holmes, Mark J. - In: Journal of economic development 38 (2013) 2, pp. 99-118

Persistent link: https://www.econbiz.de/10009766773

Nonlinear adjustments of volatility expectations to forecast errors : evidence from Markov-Regime switches in implied volatility

Nishina, Kazuhiko; Maghrebi, Nabil; Holmes, Mark J. - In: Review of Pacific Basin financial markets and policies 15 (2012) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10009671277

Financial instability and the short-term dynamics of volatility expectations

Maghrebi, Nabil; Holmes, Mark J.; Oya, Kosuke - In: Applied financial economics 24 (2014) 4/6, pp. 377-395

Persistent link: https://www.econbiz.de/10010399697

Are there asymmetries in the relationship between exchange rate fluctuations and stock market volatility in Pacific Basin countries?

Maghrebi, Nabil; Holmes, Mark J.; Pentecost, Eric J. - In: Review of Pacific Basin financial markets and policies 9 (2006) 2, pp. 229-256

Persistent link: https://www.econbiz.de/10003356483

The dynamics of volatility transmission in real interest rates : how integrated are the G7 economies?

Holmes, Mark J.; Maghrebi, Nabil - In: European review of economics and finance 4 (2005) 2, pp. 43-64

Persistent link: https://www.econbiz.de/10003307140

Is inflation targeting credible in Asia? : a panel GARCH approach

Valera, Harold Glenn A.; Holmes, Mark J.; Hassan, Gazi M. - In: Empirical economics : a journal of the Institute for … 54 (2018) 2, pp. 523-546

Persistent link: https://www.econbiz.de/10011949277