Πλοήγηση ανά Θέμα "RETURNS"
Αποτελέσματα 1-5 από 5
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A comparison of alternative unit root tests
(2005)In this paper we evaluate the performance of three methods for testing the existence of a unit root in a time series, when the models under consideration in the null hypothesis do not display autocorrelation in the error ... -
Does central bank transparency affect stock market volatility?
(2014)This paper addresses the issue of impacts of central banks' transparency on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a negative link between stock prices volatility and ... -
Does Terrorism Affect the Stock-Bond Covariance? Evidence from European Countries
(2013)Using daily stock and bond returns data from four European countries-France, Germany, Spain, and Great Britain-that have been the victims of significant terrorist activity, this study addresses the issue of whether ... -
The effects of terrorism and war on the oil price-stock index relationship
(2013)The effects war and terrorism have on the covariance between oil prices and the indices of four major stock markets - the American S&P500, the European DAX, CAC40 and FTSE100 - using non-linear BEKK-GARCH type models are ... -
Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market
(2011)An expanding body of literature has investigated the economic impact of terrorist attacks. A part of this literature has focused on financial markets. We examine three research questions: whether markets' reactions to ...