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Time-varying return-volatility relation in international stock markets
Jin, Xiaoye - In: International review of economics & finance : IREF 51 (2017), pp. 157-173
Persistent link: https://www.econbiz.de/10011754147
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Modelling the impact of different COVID-19 pandemic waves on real estate stock returns and their volatility using a GJR-GARCHX approach : an international perspective
Tomal, Mateusz - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-9
volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR … waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be …
Persistent link: https://www.econbiz.de/10012626774
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"Leverage Effect" in country betas and volatilities?
Synyavska, Alina; Ülkü, Numan - In: Applied economics letters 22 (2015) 10/12, pp. 848-853
Persistent link: https://www.econbiz.de/10011286056
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Essays in international finance : risk, jumps and diversification
M'Saddek, Oussama - 2018
Persistent link: https://www.econbiz.de/10012204650
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Market momentum amplifies market volatility risk : evidence from China's equity market
Liang, Chao; Luu Duc Toan Huynh; Li, Yan - In: Journal of international financial markets, … 88 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014483186
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Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era : New evidence from the VARX-DCC-MEGARCH model
Liu, Xiaoxing; Shehzad, Khurram - 2023
index spillovers the volatility of the FTSE 100 index. The study revealed a leverage effect for the day-wise return of the S …
Persistent link: https://www.econbiz.de/10014516096
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Nonlinear and time-varying risk premia
Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012607208
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Stock return, volatility and the global financial crisis in an emerging markets and the developed markets
Queensly Jeyanthi, B. J. - In: International economics & finance journal : (IEFJ) 8 (2013) 2, pp. 209-220
Persistent link: https://www.econbiz.de/10010346380
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Low-Frequency volatility of real estate securities in relation to macroeconomic risk
Lee, Chyi Lin; Stevenson, Simon; Lee, Ming-Long - 2015
Persistent link: https://www.econbiz.de/10011295730