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The predictability, volatility persistence, and leverage effects in stock market returns : a study of BRICS stock market indices

Joo, Bashir Ahmad; Ghulam, Younis Ahmed - In: American journal of finance and accounting 7 (2023) 3/4, pp. 188-213

Persistent link: https://www.econbiz.de/10014490945

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets

Öztek, Mehmet Fatih; Öcal, Nadir - In: Empirical economics : a journal of the Institute for … 50 (2016) 2, pp. 317-360

Persistent link: https://www.econbiz.de/10011453995

Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates

Su, Jung-Bin - In: The North American journal of economics and finance : a … 30 (2014), pp. 1-39

Persistent link: https://www.econbiz.de/10010463599

Asymmetry with respect to the memory in stock market volatilities

Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419

Persistent link: https://www.econbiz.de/10011481716

Behaviour of Johannesburg Stock Exchange all share index returns : an asymmetric GARCH and news impact effects approach

Korkpoe, Carl H.; Owusu Junior, Peterson - In: Spoudai : journal of economics and business 68 (2018) 1, pp. 26-42

market was shown to react to news unequally. Volatility spikes sharply when unexpected adverse news reaches the market while …

Persistent link: https://www.econbiz.de/10011843965

Study of BRICS stock return volatility during and after subprime crisis

Kishor, Nawal; Singh, Raman Preet - In: International journal of business and globalisation : IJBG 18 (2017) 2, pp. 233-250

Persistent link: https://www.econbiz.de/10011800038

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012513279

Return and volatility spillovers between Nigeria and selected stock markets : evidence from a diagonal BEKK-AMGARCH model

Karimo, Tari Moses; Ochoche, Abraham; Atoi, Ngozi Victor - In: West African journal of monetary and economic integration 22 (2022) 2, pp. 1-23

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

Persistent link: https://www.econbiz.de/10014516032

Conditional correlations and volatility links among gold, oil and Istanbul Stock Exchange sector returns

Gencer, Hatice Gaye; Kilic, Erdem - In: International journal of economics and financial issues … 4 (2014) 1, pp. 170-182

Persistent link: https://www.econbiz.de/10010520108