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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; McAleer, Michael; Allen, David - Facultad de Ciencias Económicas y Empresariales, … - 2013
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...
Persistent link: https://www.econbiz.de/10010778692
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Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016
futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four … relating to alternative models of mean and variance feedback and asymmetry for intra-daily returns, asymmetry and volatility …
Persistent link: https://www.econbiz.de/10011441584
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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets
Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27
:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …
Persistent link: https://www.econbiz.de/10012872753
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Long Memory and Tail Dependence in Trading Volume and Volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2011
fractional cointegration analysis. We analyze the degree of tail dependence of the two series finding that this is induced by the …
Persistent link: https://www.econbiz.de/10014206268
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A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
Cao, Ji - 2017
to cointegration …
Persistent link: https://www.econbiz.de/10012966262
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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009
to cointegration. -- implied volatility surface ; dynamic semiparametric factor model ; VAR ; cointegration …
Persistent link: https://www.econbiz.de/10003828611
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Exploring the nexus between oil prices and sectoral stock prices : nonlinear evidence from Kuwait stock exchange
Kisswani, Khalid M.; Elian, Mohammad I. - In: Cogent economics & finance 5 (2017) 1, pp. 1-17
no evidence of asymmetry was found in case of Brent price. …
Persistent link: https://www.econbiz.de/10011598070
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Investigating the asymmetric impact of oil prices on GCC stock markets
Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2020
This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...
Persistent link: https://www.econbiz.de/10012314956
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Testing for single bubble episode in the Nigerian stock market : an empirical investigation
Iliyasu, Jamilu; Saba, Ndayezhin D. - In: CBN journal of applied statistics 10 (2019) 1, pp. 29-49
This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence...
Persistent link: https://www.econbiz.de/10012178349
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Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets
Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2021
This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...
Persistent link: https://www.econbiz.de/10013314986