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  • Search: subject_exact:"Volatilität"
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Year of publication
Subject
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Volatilität 43,619 Volatility 42,584 Theorie 11,726 Theory 11,489 Börsenkurs 9,903 Share price 9,766 Schätzung 8,208 Estimation 8,025 ARCH-Modell 7,269 ARCH model 7,199 Kapitaleinkommen 6,845 Capital income 6,818 Aktienmarkt 5,786 Stock market 5,707 Welt 5,620 World 5,537 Wechselkurs 5,039 Exchange rate 4,926 USA 4,315 United States 4,187 Stochastischer Prozess 4,181 Optionspreistheorie 4,171 Stochastic process 4,120 Option pricing theory 4,111 Prognoseverfahren 4,036 Forecasting model 3,989 Zeitreihenanalyse 3,752 Time series analysis 3,677 Risk 3,279 Risiko 3,275 Portfolio-Management 2,953 Portfolio selection 2,942 Finanzmarkt 2,584 Financial market 2,526 Ölpreis 2,492 Oil price 2,478 Spillover-Effekt 2,413 Spillover effect 2,387 Konjunktur 2,064 Schätztheorie 2,030
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Online availability
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Free 17,160 Undetermined 11,499 CC license 1,077
Type of publication
All
Article 24,372 Book / Working Paper 19,247 Journal 1
Type of publication (narrower categories)
All
Article in journal 22,918 Aufsatz in Zeitschrift 22,918 Working Paper 7,897 Graue Literatur 7,495 Non-commercial literature 7,495 Arbeitspapier 7,255 Aufsatz im Buch 1,246 Book section 1,246 Hochschulschrift 669 Thesis 514 Collection of articles written by one author 176 Sammlung 176 Collection of articles of several authors 159 Sammelwerk 159 Conference paper 143 Konferenzbeitrag 143 Aufsatzsammlung 84 Bibliografie enthalten 54 Bibliography included 54 Dissertation u.a. Prüfungsschriften 50 Amtsdruckschrift 49 Government document 49 Konferenzschrift 43 Systematic review 41 Übersichtsarbeit 41 Forschungsbericht 32 Article 30 Case study 21 Fallstudie 21 Rezension 20 Conference proceedings 19 Lehrbuch 17 Textbook 15 Handbook 10 Handbuch 10 Reprint 10 Bibliografie 7 Ratgeber 6 Guidebook 5 Research Report 5
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Language
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English 42,817 German 579 French 83 Spanish 78 Portuguese 23 Undetermined 16 Polish 10 Italian 9 Czech 5 Dutch 5 Romanian 4 Russian 4 Danish 1 Croatian 1 Hungarian 1 Norwegian 1 Serbian 1 Swedish 1 Chinese 1
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Author
All
McAleer, Michael 309 Gupta, Rangan 293 Caporale, Guglielmo Maria 184 Bollerslev, Tim 143 Diebold, Francis X. 128 Andersen, Torben 123 Chang, Chia-Lin 122 Pierdzioch, Christian 122 Bouri, Elie 120 Härdle, Wolfgang 105 Aizenman, Joshua 99 Spagnolo, Nicola 99 Ma, Feng 96 Bekaert, Geert 89 Koopman, Siem Jan 89 Hammoudeh, Shawkat 87 Tiwari, Aviral Kumar 84 Caporin, Massimiliano 78 Kang, Sang Hoon 77 Bahmani-Oskooee, Mohsen 75 Engle, Robert F. 75 Hautsch, Nikolaus 73 Todorov, Viktor 71 Gil-Alaña, Luis A. 70 Asai, Manabu 69 Lux, Thomas 69 McMillan, David G. 68 Kočenda, Evžen 67 Mensi, Walid 67 Buch, Claudia M. 66 Chiarella, Carl 66 Christoffersen, Peter F. 66 Corbet, Shaen 64 Lucey, Brian M. 64 Salisu, Afees A. 63 Dijk, Dick van 62 Wohar, Mark E. 61 Aït-Sahalia, Yacine 57 Tauchen, George Eugene 55 Vo Xuan Vinh 55
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Institution
All
National Bureau of Economic Research 529 Institut für Schweizerisches Bankwesen <Zürich> 49 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 29 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 21 Centre for Analytical Finance <Århus> 18 International Monetary Fund 17 National Centre of Competence in Research North South <Bern> 17 World Bank 16 Federal Reserve Bank of St. Louis 13 Svenska Handelshögskolan <Helsinki> 12 Ekonomiska forskningsinstitutet <Stockholm> 11 Internationaler Währungsfonds / Research Department 11 University of Canterbury / Dept. of Economics and Finance 11 Centre for Growth and Business Cycle Research <Manchester> 10 Chambre de commerce et d'industrie de Paris 10 European University Institute / Department of Economics 10 Swiss National Centre of Competence in Research North South <Bern> 10 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 9 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 9 European Central Bank 8 Federal Reserve Bank of New York 8 Rodney L. White Center for Financial Research 8 Gottfried Wilhelm Leibniz Universität Hannover 7 Instituto Valenciano de Investigaciones Económicas 7 Federal Reserve Bank of San Francisco 6 Institute of Finance and Accounting <London> 6 Universität <Münster, Westfalen> / Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung 6 Birkbeck College / Department of Economics 5 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 5 European Commission / Directorate-General for Economic and Financial Affairs 5 Federal Reserve System / Board of Governors 5 Federal Reserve System / Division of Research and Statistics 5 Massachusetts Institute of Technology / Department of Economics 5 National Centre of Competence in Research - Financial Valuation and Risk Management 5 The Wharton Financial Institutions Center 5 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 4 Center for Economic Research <Tilburg> 4 Centre for Economic Policy Research 4 Econometrisch Instituut <Rotterdam> 4 Inter-American Development Bank / Office of the Chief Economist 4
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Published in...
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Energy economics 726 Finance research letters 687 NBER working paper series 517 Working paper / National Bureau of Economic Research, Inc. 475 NBER Working Paper 449 International review of financial analysis 436 Applied economics 418 International review of economics & finance : IREF 405 The journal of futures markets 382 Journal of banking & finance 377 Economic modelling 368 Journal of econometrics 340 The North American journal of economics and finance : a journal of financial economics studies 333 Research in international business and finance 296 Working paper 278 Journal of empirical finance 273 Applied economics letters 269 Economics letters 265 Applied financial economics 262 Journal of international financial markets, institutions & money 261 International journal of theoretical and applied finance 255 Journal of international money and finance 247 Discussion paper / Centre for Economic Policy Research 239 Quantitative finance 214 Discussion paper / Tinbergen Institute 208 Journal of risk and financial management : JRFM 201 Journal of financial economics 196 Pacific-Basin finance journal 196 International Journal of Energy Economics and Policy : IJEEP 187 CESifo working papers 184 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 174 The European journal of finance 165 Journal of economic dynamics & control 164 IMF working papers 163 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 163 International journal of finance & economics : IJFE 162 Journal of forecasting 156 International journal of forecasting 147 Research paper series / Swiss Finance Institute 134 Computational economics 130
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Source
All
ECONIS (ZBW) 42,632 EconStor 681 USB Cologne (business full texts) 152 USB Cologne (EcoSocSci) 129 OLC EcoSci 11 BASE 7 RePEc 5 ArchiDok 3
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Showing 1 - 50 of 43,620
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Behavioral interventions and market efficiency : the case of a volatile retail electricity market
Baltaduonis, Rimvydas; Jaraitė, Jūratė; … - In: Journal of behavioral and experimental economics 114 (2025), pp. 1-20
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190625
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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025
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Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 535-553
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193830
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Pandemic, policy, and markets : insights and learning from COVID-19's impact on global stock behavior
Yang, Shuxin - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 555-583
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193831
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Dynamic impact of foreign exchange trading volume on foreign exchange volatility
Kang, Jong Woo; Cabaero, Carlos - 2025
Foreign exchange (FX) trading volume is a key factor in exchange rate volatility. Given the important role of volatility in economic growth and stability, this paper investigates the dynamic nature of exchange trading volume on exchange rate volatility using hourly high-frequency data. The...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015194391
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Investor clientele and intraday patterns in the cross section of stock returns
Chen, Jian; Haboub, Ahmad; Khan, Ali; Mahmud, Syed - In: Review of quantitative finance and accounting 64 (2025) 2, pp. 757-797
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015194606
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Predicting cryptocurrency volatility : the power of model clustering
Qiu, Yue; Qu, Shaoguang; Shi, Zhentao; Xie, Tian - In: Economic modelling 144 (2025), pp. 1-15
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195169
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Stochastic exchange rate dynamics, intervention dynamics and the market efficiency hypothesis
Drakonakis, Emmanouil; Kotsios, Stelios - In: Computational economics 65 (2025) 1, pp. 463-481
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The shifted GARCH model with affine variance : applications in pricing
Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8
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Disaggregating VIX
Degiannakis, Stavros; Kafousaki, Eleftheria - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015197246
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Trading VIX on volatility forecasts : another volatility puzzle?
Degiannakis, Stavros; Delis, Panagiotis; Filis, George; … - 2025
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Fiscal Policy Procyclicality and Volatility in Commodity-Exporting Emerging and Developing Economies
Arroyo Marioli, Francisco; Vasishtha, Garima - 2025
Over the past few decades, fiscal policy has been about 30 percent more procyclical and about 40 percent more volatile in commodity-exporting emerging markets and developing economies (EMDEs) than in other EMDEs. Both procyclicality and volatility of fiscal policy-which share some underlying...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015198130
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Score-driven time-varying parameter models with splinebased densities
Brummelen, Janneke van; Gorgi, Paolo; Koopman, Siem Jan - 2025
We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...
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Mergers, firm size, and volatility in a granular economy
Chan, Jackie M. L.; Qi, Han - In: Review of economic dynamics : the official journal of … 55 (2025), pp. 1-20
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A Bayesian stochastic discount factor for the cross-section of individual equity options
Käfer, Niclas; Mörke, Mathis; Weigert, Florian; … - 2025 - This version: April 23, 2024
We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...
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Deglobalization and foreign exchange volatility : the role of supply chain pressures
Segnon, Mawuli; Demirer, Rıza; Gupta, Rangan - 2025
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State-dependent Phillips Curve
Kim, Hyun Hak; Lee, Na Kyeong - In: Economies : open access journal 13 (2025) 1, pp. 1-14
We propose a state-dependent Phillips curve (PC) where the regime has changed endogenously. Using this framework, a free-standing PC is constructed. This study tests the robustness of the model, various types of inflation, slack measures, and various expectation measures. The PC is found to work...
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Modelling jumps with CARMA(p,q)-Hawkes : an application to corporate bond markets
Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit - In: Finance research letters 73 (2025), pp. 1-9
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Examining impact of inflation and inflation volatility on economic growth : evidence from European Union economies
Pappas, Anastasios; Boukas, Nikolaos - In: Economies : open access journal 13 (2025) 2, pp. 1-18
Examining the economies of the European Union from 2000 to 2023, we have found no strong evidence that the inflation rate has a negative impact on economic growth. In contrast, in line with conventional economic theory, higher interest rates are associated with lower economic growth. The results...
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Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty
Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25
While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210403
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Dynamic linkages between economic policy uncertainty and external variables in Latin America : wavelet analysis
Marín-Rodríguez, Nini Johana; González-Ruiz, Juan David - In: Economies : open access journal 13 (2025) 2, pp. 1-28
Wavelet coherence analysis (WCA) examines the dynamic interactions between economic policy uncertainty (EPU) in Brazil, Chile, Colombia, and Mexico and key external variables, using monthly data from 2010 to 2022. The findings reveal the following: (i) medium-term co-movements (4-16 months)...
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Modeling gasoline price volatility
Kamocsai, László; Ormos, Mihály - In: Finance research letters 73 (2025), pp. 1-9
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The U.S. Dollar and variance risk premia imbalances
Kjær, Mads Markvart; Posselt, Anders Merrild - In: The financial review : the official publication of the … 60 (2025) 1, pp. 173-200
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015166669
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Commodity price volatility and the psychological well-being of farmers
Singhal, Saurabh; Tarp, Finn - In: American journal of agricultural economics 107 (2025) 1, pp. 269-289
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Shocks and Shields : Macroeconomic Institutions During Commodity Price Swings
Arezki, Rabah - 2025
Countries facing commodity (net) export price shocks tend to implement fiscal rules and to financially close their economies, demonstrating "macroeconomic prudence". These effects are (unsurprisingly) asymmetric between import and export price shocks. The impact of commodity (net) export prices...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015328142
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Shocked: Electricity Price Volatility Spillovers in Europe
Cevik, Serhan - 2025
European electricity markets are in the midst of unprecedented changes-caused by Russia's invasion of Ukraine and the rise of renewable sources of energy. Using high-frequency data, this paper investigates volatility spillovers across 24 countries in the European Union (EU) during the period...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015328189
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Hybrid ML models for volatility prediction in financial risk management
Kumar, Satish; Rao, Amar; Dhochak, Monika - In: International review of economics & finance : IREF 98 (2025), pp. 1-18
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331616
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In the heat of the moment, secrets will out : oil price uncertainty and firm green innovation disclosure
Huang, Kai; Chi, Jing; Liao, Jing; Yuen, Mui Kuen - In: International review of economics & finance : IREF 98 (2025), pp. 1-20
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331816
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Market efficiency and its determinants : macro-level dynamics and micro-level characteristics of cryptocurrencies
Bouteska, Ahmed; Sharif, Taimur; Isskandarani, Layal; … - In: International review of economics & finance : IREF 98 (2025), pp. 1-15
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331959
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Revisiting the currency-commodity nexus : new insights into the R² decomposed connectedness and the role of global shocks
Huang, Jionghao; Li, Hongqiao; Chen, Baifan; Liu, Mengai; … - In: International review of economics & finance : IREF 98 (2025), pp. 1-39
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Renaissance of climate policy uncertainty : the effects of U.S. presidential election on energy markets volatility
Ding, Shusheng; Wang, Anqi; Cui, Tianxiang; Min Du, Anna - In: International review of economics & finance : IREF 98 (2025), pp. 1-11
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330718
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Idiosyncratic volatility and the cross-section of abnormal returns in Pakistan : evidence from a country with religious bans on lotteries and substantive institutional investor participation
Khurram, Muhammad Usman; Ali, Fahad; Ülkü, Numan - In: International review of economics & finance : IREF 98 (2025), pp. 1-22
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330660
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Investigation of emerging market stress under various frequency bands : evidence from FX market uncertainty and liquidity
Gunay, Samet; Dömötör, Barbara; Víg, Attila András - In: Emerging markets review 65 (2025), pp. 1-36
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329921
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Oil price shocks and airlines stock return and volatility : a GFEVD analysis
Cai, Yifei; Zhang, Yahua; Zhang, Anming - In: Economics of Transportation : the official journal of … 41 (2025), pp. 1-12
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Markov switching volatility connectedness across international CDS markets
Mensi, Walid; Gemici, Eray; Polat, Müslüm; Kang, Sang Hoon - In: International review of economics & finance : IREF 98 (2025), pp. 1-17
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330587
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Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital
Cevik, Emrah Ismail; Kenç, Turalay; Goodell, John W.; … - In: International review of economics & finance : IREF 97 (2025), pp. 1-23
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015327028
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Resilience or returns : assessing green equity index performance across market regimes
An Thi Thuy Duong - In: International review of economics & finance : IREF 97 (2025), pp. 1-21
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015327258
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Dynamic conditional correlation between green and grey energy ETF markets using cDCC-MGARCH model
Algarhi, Amr Saber - In: Applied economics letters 32 (2025) 6, pp. 835-842
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329872
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Appraising model complexity in option pricing
Cummins, Mark; Esposito, Francesco - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015376680
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Nonlinear effects of uncertainty shocks : state dependency and asymmetry
Morita, Hiroshi; Yuasa, Shiro - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399288
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Temperature fluctuations, climate uncertainty, and financing hindrance
Wu, Qingyang; Shahbaz, Muhammad; Kyriakou, Ioannis - In: Journal of regional science 65 (2025) 1, pp. 112-134
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399157
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Modeling financial bubbles with optional semimartingales in nonstandard probability spaces
Abdelghani, Mohamed; Melnikov, Alexander - 2025
Deviation of an asset price from its fundamental value, commonly referred to as a price bubble, is a well-known phenomenon in financial markets. Mathematically, a bubble arises when the deflated price process transitions from a martingale to a strict local martingale. This paper explores price...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358908
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Systemic risk among Chinese oil and petrochemical firms based on dynamic tail risk spillover networks
Chen, Tingqiang; Zheng, Xin; Wang, Lei - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374485
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Interaction between equity futures and spot markets during COVID-19 pandemic : a multi-market analysis
Emenike, Kalu O. - In: Journal of derivatives and quantitative studies : … 33 (2025) 1, pp. 67-84
Using ABA research design and daily indices from South Africa, Eurozone, Japan and the United States of America, this study evaluates the interaction between equity index futures and spot markets before; during and after the COVID-19 pandemic. The results show evidence of cointegration between...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397325
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Evaluating the impacts of projected yield changes on India's wheat and rice markets
Ajewole, Kayode; Sabala, Ethan; Beckman, Jayson - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396157
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What do we know about income and earnings volatility?
Brewer, Mike; Cominetti, Nye; Jenkins, Stephen - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399561
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Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399780
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Can ESG performance shape dynamic risk spillovers? : evidence from Chinese carbon and equity markets
Chen, Zhang-HangJian; Ren, Qiming; Gao, Xiang; Kaakeh, … - In: Finance research letters 72 (2025), pp. 1-11
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015202589
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Re-examining China and the u.s.'s respective green bond markets in extreme conditions : evidence from quantile connectedness
Wang, Mei-Chih; Jiang, Peiyun; Chang, Tsangyao - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359774
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Momentum mechanisms under heterogeneous beliefs
Yan, Yu; Tong, Yan; Wang, Yiming - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359778
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