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The effect of the EMU on short and long-run stock market dynamics: New evidence on financial integration
(Inderscience Publishers, 2009)
This paper deals with the time evolution of stock market integra- tion around the introduction of the euro. In particular we test whether the degree of integration between the main eurozone countries increased after European ...
The non-linear trade-off between return and risk and its determinants
(Elsevier, 2022-04-08)
We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of stocks from July 1963 to September 2017. We find the relationship between return and total risk to be ...
Non-homogeneous volatility correlations in the bivariate multifractal model
(Taylor & Francis, 2015)
In this paper, we consider an extension of the recently proposed bivariate Markov-switching multifractal model of Calvet, Fisher, and Thompson [2006. “Volatility Comovement: A Multifrequency Approach.” Journal of Econometrics ...