1. A TGARCH Quantification of the Average Effect of COVID-19 Cases on Share Prices by Sector: Comparing the US and the UK. (2023). Mihailov, Alexander ; Markovski, Minko ; Hassan, Hussein.
   In: Economics Discussion Papers.
   RePEc:rdg:emxxdp:em-dp2023-15.

   Full description at Econpapers || Download paper

1. [1] Baba, Y., Engle, R. Kraft, D., Kroner, K. (1987), “Multivariate Simultaneous Generalized ARCH,”Discussion Paper, University of California, San Diego.
   Paper not yet in RePEc: Add citation now
   

2. [10] Glosten, L., Jagannanthan, R., Runkle, R. (1993), “On the Relationship between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks,”Journal of Finance 48(5), 1779– 1801.

3. [11] Goldstein, I., Koijen, R. S. J., Mueller, H. M. (2021), “COVID-19 and Its Impact on Financial Markets and the Real Economy,”Review of Financial Studies 34, 5135– 5148.

4. [12] Gri th, R., Levell, P., Stroud, R. (2020), “The Impact of COVID-19 on Share Prices in the UK,”Brie…ng Note, Institute for Fiscal Studies (27 Mar 2020).
   Paper not yet in RePEc: Add citation now
   

5. [13] Hanspal, T., Weber, A., Wohlfart, J. (2020), “Exposure to the COVID-19 Stock Market Crash and Its Eect on Household Expectations,”Review of Economics and Statistics 103 (5, December), 994– 1010.

6. [14] Hassan, H. A. (2017), An Empirical Study on the Optimal Monetary Policy and Financial Market Volatility in Egypt, PhD Thesis, University of Leicester, UK.
   Paper not yet in RePEc: Add citation now
   

7. [17] Klose, J., Tillmann, P. (2021), “COVID-19 and Financial Markets: A Panel Analysis for European Countries,”Journal of Economics and Statistics 241 (3), 297– 347.

8. [18] Koren, M., Peto, R. (2020), “Business Disruptions from Social Distancing,” arXiv, preprint.

9. [2] Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M. and Viratyosin, T. (2020), “The Unprecedented Stock Market Reaction to COVID-19,”Review of Asset Pricing Studies 10, 742– 758.
   Paper not yet in RePEc: Add citation now
   

10. [21] Morelli, D. (2002), “The Relationship between Conditional Stock Market Volatility and Conditional Macroeconomic Volatility: Empirical Evidence Based on UK Data,” International Review of Financial Analysis 11(1), 101– 110.

11. [22] Nelson, D. B. (1991), “Conditional Heteroscedasticity in Asset Returns: A New Approach, ”Econometrica 59(2), 347– 370.

12. [23] Pagano, M., Wagner, C., Zechner, J. (2020), “Disaster Resilience and Asset Prices,” Working Paper, University of Naples Federico II.

13. [24] Ramelli, S., Wagner, A. F. (2020), “Feverish Stock Price Reactions to COVID-19,” Review of Corporate Finance Studies 9 (3, November), 622– 655.

14. [25] Wagner, A. F. (2020), “What the Stock Market Tells Us about the Post-COVID-19 World,”Nature Human Behavior 4, 440.

15. [26] Walras, L. (1874– 1877), Eléments d’ économie politique pure ou Théorie de la richesse sociale, 2 parts, Lausanne: L. Corbaz; Paris: Guillaumin; Bâsle: H. Georg.
    Paper not yet in RePEc: Add citation now
    

16. [3] Bollerslev, T. (1986), “Generalised Autoregressive Conditional Heteroscedasticity,” Journal of Econometrics 31, 307– 327.

17. [4] Capelle-Blancard, G., Desroziers, A. (2020), “The Stock Market and the Economy: Insights from the COVID-19 Crisis,”VOX, CEPR Policy Portal.

18. [5] Caporin, M., McAleer, M. (2010), “Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models,”KIER Discussion Paper, 738, Kyoto.

19. [7] Eachempati, P. S., Praveen R., Panigrahi, P. K. (2021), “Sentiment Analysis of COVID-19 Pandemic on the Stock Market,”American Business Review 24 (1), Article 8. [8] Engle, R. F., Kroner, K. F. (1995), “Multivariate Simultaneous Generalized ARCH,” Econometric Theory 11 (1), 122– 150.
    Paper not yet in RePEc: Add citation now
    

20. [9] Gibson, H. D., Hall, S. G., Tavlas, G. S. (2017), “A Suggestion for Constructing a Large Time-Varying Conditional Covariance Matrix,”Economics Letters 156, 110– 113.

21. CORR_CASES_RE Figure 1: Canada –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021 2 COVID-19 Cases and Sectoral Stock Prices: Supplementary Online Appendix -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
22. CORR_CASES_RE Figure 10: Germany –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021 34 COVID-19 Cases and Sectoral Stock Prices: What Do We Learn from the Daily Data? -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
23. CORR_CASES_RE Figure 10: Spain –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021 Hassan, Markovski and Mihailov (April 2022) 11 -1 -0.5 0 fin 0 2 4 6 8 10 0 0.5 1 fin 0 2 4 6 8 10 -1 -0.5 0 basic 0 2 4 6 8 10 0 0.5 1 basic 0 2 4 6 8 10 -1 -0.5 0 constap 0 2 4 6 8 10 0 0.5 1 constap 0 2 4 6 8 10 -1 -0.5 0 condisc 0 2 4 6 8 10 0 0.5 1 condisc 0 2 4 6 8 10 -1 -0.5 0 energy 0 2 4 6 8 10 0 0.5 1 energy 0 2 4 6 8 10 -1 -0.5 0 health 0 2 4 6 8 10 0 0.5 1 health 0 2 4 6 8 10 -1 -0.5 0 ind 0 2 4 6 8 10 0 0.5 1 ind 0 2 4 6 8 10 -1 -0.5 0 tech 0 2 4 6 8 10 0 0.5 1 tech 0 2 4 6 8 10 -1 -0.5 0 telco 0 2 4 6 8 10 0 0.5 1 telco 0 2 4 6 8 10 -1 -0.5 0 util 0 2 4 6 8 10 0 0.5 1 util 0 2 4 6 8 10 -1 -0.5 0 re 0 2 4 6 8 10 0 0.5 1 re 0 2 4 6 8 10 Figure 11: Spain –
    Paper not yet in RePEc: Add citation now
    
24. CORR_CASES_RE Figure 13: China –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021 14 COVID-19 Cases and Sectoral Stock Prices: Supplementary Online Appendix -1 -0.5 0 fin 0 0.5 1 1.5 2 0 0.5 1 fin 0 0.5 1 1.5 2 -1 -0.5 0 basic 0 0.5 1 1.5 2 0 0.5 1 basic 0 0.5 1 1.5 2 -1 -0.5 0 constap 0 0.5 1 1.5 2 0 0.5 1 constap 0 0.5 1 1.5 2 -1 -0.5 0 condisc 0 0.5 1 1.5 2 0 0.5 1 condisc 0 0.5 1 1.5 2 -1 -0.5 0 energy 0 0.5 1 1.5 2 0 0.5 1 energy 0 0.5 1 1.5 2 -1 -0.5 0 health 0 0.5 1 1.5 2 0 0.5 1 health 0 0.5 1 1.5 2 -1 -0.5 0 ind 0 0.5 1 1.5 2 0 0.5 1 ind 0 0.5 1 1.5 2 -1 -0.5 0 tech 0 0.5 1 1.5 2 0 0.5 1 tech 0 0.5 1 1.5 2 -1 -0.5 0 telco 0 0.5 1 1.5 2 0 0.5 1 telco 0 0.5 1 1.5 2 -1 -0.5 0 util 0 0.5 1 1.5 2 0 0.5 1 util 0 0.5 1 1.5 2 -1 -0.5 0 re 0 0.5 1 1.5 2 0 0.5 1 re 0 0.5 1 1.5 2
    Paper not yet in RePEc: Add citation now
    
25. CORR_CASES_RE Figure 13: Italy –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021 Hassan, Markovski and Mihailov (April 2022) 37 -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
26. CORR_CASES_RE Figure 16: India –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021 Hassan, Markovski and Mihailov (April 2022) 17 -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
27. CORR_CASES_RE Figure 16: Japan –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021 40 COVID-19 Cases and Sectoral Stock Prices: What Do We Learn from the Daily Data? -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
28. CORR_CASES_RE Figure 4: Australia –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021 Hassan, Markovski and Mihailov (April 2022) 5 -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
29. CORR_CASES_RE Figure 4: US –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021. The top-left panel in this and all analogous …gures that follow shows the work-day dynamics of the respective national stock price index referred to in footnote 6. 28 COVID-19 Cases and Sectoral Stock Prices: What Do We Learn from the Daily Data? -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
30. CORR_CASES_RE Figure 7: France –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021 8 COVID-19 Cases and Sectoral Stock Prices: Supplementary Online Appendix -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
31. CORR_CASES_RE Figure 7: UK –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Dynamics, 2020-2021 Hassan, Markovski and Mihailov (April 2022) 31 -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4 Figure 8: UK –
    Paper not yet in RePEc: Add citation now
    
32. December 1997, ends 17 February 2022 0 2000 4000 6000 8000 10000 12000 14000 16000 18000 Figure 1: The Latest 3 Biggest Stock Market Crashes: NASDAQ Work Day Plot (x-axis) –
    Paper not yet in RePEc: Add citation now
    
33. Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020 1st half (top two rows) and 2020 2nd half (bottom two rows) 12 COVID-19 Cases and Sectoral Stock Prices: Supplementary Online Appendix -1 -0.5 0 fin 0 2 4 6 8 10 0 0.5 1 fin 0 2 4 6 8 10 -1 -0.5 0 basic 0 2 4 6 8 10 0 0.5 1 basic 0 2 4 6 8 10 -1 -0.5 0 constap 0 2 4 6 8 10 0 0.5 1 constap 0 2 4 6 8 10 -1 -0.5 0 condisc 0 2 4 6 8 10 0 0.5 1 condisc 0 2 4 6 8 10 -1 -0.5 0 energy 0 2 4 6 8 10 0 0.5 1 energy 0 2 4 6 8 10 -1 -0.5 0 health 0 2 4 6 8 10 0 0.5 1 health 0 2 4 6 8 10 -1 -0.5 0 ind 0 2 4 6 8 10 0 0.5 1 ind 0 2 4 6 8 10 -1 -0.5 0 tech 0 2 4 6 8 10 0 0.5 1 tech 0 2 4 6 8 10 -1 -0.5 0 telco 0 2 4 6 8 10 0 0.5 1 telco 0 2 4 6 8 10 -1 -0.5 0 util 0 2 4 6 8 10 0 0.5 1 util 0 2 4 6 8 10 -1 -0.5 0 re 0 2 4 6 8 10 0 0.5 1 re 0 2 4 6 8 10 Figure 12: Spain –
    Paper not yet in RePEc: Add citation now
    
34. Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020, 1st half of the year 32 COVID-19 Cases and Sectoral Stock Prices: What Do We Learn from the Daily Data? -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4 Figure 9: UK –
    Paper not yet in RePEc: Add citation now
    
35. February 1971 = 100; starts 5
    Paper not yet in RePEc: Add citation now
    
36. Figure 11: Germany –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020, 1st half of the year Hassan, Markovski and Mihailov (April 2022) 35 -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4 Figure 12: Germany –
    Paper not yet in RePEc: Add citation now
    
37. Figure 14: China –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020 1st Half Hassan, Markovski and Mihailov (April 2022) 15 -1 -0.5 0 fin 0 0.5 1 1.5 2 0 0.5 1 fin 0 0.5 1 1.5 2 -1 -0.5 0 basic 0 0.5 1 1.5 2 0 0.5 1 basic 0 0.5 1 1.5 2 -1 -0.5 0 constap 0 0.5 1 1.5 2 0 0.5 1 constap 0 0.5 1 1.5 2 -1 -0.5 0 condisc 0 0.5 1 1.5 2 0 0.5 1 condisc 0 0.5 1 1.5 2 -1 -0.5 0 energy 0 0.5 1 1.5 2 0 0.5 1 energy 0 0.5 1 1.5 2 -1 -0.5 0 health 0 0.5 1 1.5 2 0 0.5 1 health 0 0.5 1 1.5 2 -1 -0.5 0 ind 0 0.5 1 1.5 2 0 0.5 1 ind 0 0.5 1 1.5 2 -1 -0.5 0 tech 0 0.5 1 1.5 2 0 0.5 1 tech 0 0.5 1 1.5 2 -1 -0.5 0 telco 0 0.5 1 1.5 2 0 0.5 1 telco 0 0.5 1 1.5 2 -1 -0.5 0 util 0 0.5 1 1.5 2 0 0.5 1 util 0 0.5 1 1.5 2 -1 -0.5 0 re 0 0.5 1 1.5 2 0 0.5 1 re 0 0.5 1 1.5 2
    Paper not yet in RePEc: Add citation now
    
38. Figure 14: Italy –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020, 1st half of the year 38 COVID-19 Cases and Sectoral Stock Prices: What Do We Learn from the Daily Data? -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
39. Figure 17: India –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020 1st Half 18 COVID-19 Cases and Sectoral Stock Prices: Supplementary Online Appendix -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
40. Figure 17: Japan –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020, 1st half of the year Hassan, Markovski and Mihailov (April 2022) 41 -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4 Figure 18: Japan –
    Paper not yet in RePEc: Add citation now
    
41. Figure 2: Canada –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020 1st Half Hassan, Markovski and Mihailov (April 2022) 3 -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
42. Figure 5: Australia –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020 1st half (top two rows) and 2020 2nd half (bottom two rows) 6 COVID-19 Cases and Sectoral Stock Prices: Supplementary Online Appendix -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
43. Figure 5: US –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020, 1st half of the year Hassan, Markovski and Mihailov (April 2022) 29 -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4 Figure 6: US –
    Paper not yet in RePEc: Add citation now
    
44. Figure 8: France –Estimated Daily Correlations between COVID-19 Cases and Sectoral Stock Price Indexes, Kernels, 2020 1st Half Hassan, Markovski and Mihailov (April 2022) 9 -1 -0.5 0 fin 0 1 2 3 4 0 0.5 1 fin 0 1 2 3 4 -1 -0.5 0 basic 0 1 2 3 4 0 0.5 1 basic 0 1 2 3 4 -1 -0.5 0 constap 0 1 2 3 4 0 0.5 1 constap 0 1 2 3 4 -1 -0.5 0 condisc 0 1 2 3 4 0 0.5 1 condisc 0 1 2 3 4 -1 -0.5 0 energy 0 1 2 3 4 0 0.5 1 energy 0 1 2 3 4 -1 -0.5 0 health 0 1 2 3 4 0 0.5 1 health 0 1 2 3 4 -1 -0.5 0 ind 0 1 2 3 4 0 0.5 1 ind 0 1 2 3 4 -1 -0.5 0 tech 0 1 2 3 4 0 0.5 1 tech 0 1 2 3 4 -1 -0.5 0 telco 0 1 2 3 4 0 0.5 1 telco 0 1 2 3 4 -1 -0.5 0 util 0 1 2 3 4 0 0.5 1 util 0 1 2 3 4 -1 -0.5 0 re 0 1 2 3 4 0 0.5 1 re 0 1 2 3 4
    Paper not yet in RePEc: Add citation now
    
45. Hassan, Markovski and Mihailov (April 2022) 23 [15] Hvid, A. K., Kristiansen, K. (2020), “How News Aects Sectoral Stock Prices through Earnings Expectations and Premia,” European Central Bank Working Paper 2493 (November), [16] Keynes, J. M. (1936), The General Theory of Employment, Interest and Money. Reprinted in Keynes, Collected Writings. Vol. 7.
    Paper not yet in RePEc: Add citation now
    
46. Table 13: Granger Causality Test Results: Summary by Sector and Country COVID-19 Cases and Stock Prices by Sector in Major Economies: What Do We Learn from the Daily Data? Supplementary Online Appendix Hussein Hassan, Minko Markovski and Alexander Mihailov April 2022 Abstract This appendix collects the same …gures per country for the remaining six countries with a complete sectoral stock price index data set (i.e., all 11 GICS sectors) in our sample as for the …ve countries in the main text. It also adds univariate GARCH statistical signi…cance tables for the six countries whose tables are not in the main text, to save space and keep focus there.
    Paper not yet in RePEc: Add citation now
    

1. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Ai Jun.
   In: Energy Economics.
   RePEc:eee:eneeco:v:34:y:2012:i:2:p:618-626.

   Full description at Econpapers || Download paper

2. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Zaffaroni, Paolo ; Schleicher, Christoph ; Pesaran, Mohammad.
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:0808.

   Full description at Econpapers || Download paper

3. Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12690.

   Full description at Econpapers || Download paper

4. ARCH models for multi-period forecast uncertainty-a reality check using a panel of density forecasts. (2005). Lahiri, Kajal ; Liu, Fushang.
   In: MPRA Paper.
   RePEc:pra:mprapa:21693.

   Full description at Econpapers || Download paper

5. Time-varying Correlations of Russian and U.S. Equity Returns. (2004). Jithendranathan, Thadavillil.
   In: International Finance.
   RePEc:wpa:wuwpif:0403006.

   Full description at Econpapers || Download paper

6. The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets. (2004). Kutan, Ali ; Hayo, Bernd.
   In: Finance.
   RePEc:wpa:wuwpfi:0403002.

   Full description at Econpapers || Download paper

7. The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets. (2004). Kutan, Ali ; Hayo, Bernd.
   In: William Davidson Institute Working Papers Series.
   RePEc:wdi:papers:2004-656.

   Full description at Econpapers || Download paper

8. The Euro and European Financial Market Integration. (2004). Bartram, Söhnke ; Wang, Yaw-Huei ; Taylor, Stephen.
   In: Money Macro and Finance (MMF) Research Group Conference 2004.
   RePEc:mmf:mmfc04:49.

   Full description at Econpapers || Download paper

9. Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE. (2004). Sin, Chor-Yiu.
   In: Econometric Society 2004 North American Summer Meetings.
   RePEc:ecm:nasm04:476.

   Full description at Econpapers || Download paper

10. Forecasting Value-at-Risk Using the Markov-Switching ARCH Model. (2004). Gau, Yin-Feng ; Tang, Wei-Ting.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:715.

    Full description at Econpapers || Download paper

11. Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness. (2004). Tay, Anthony S ; Hashmi, Aamir.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:634.

    Full description at Econpapers || Download paper

12. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-24.

    Full description at Econpapers || Download paper

13. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:94:y:2004:i:3:p:405-420.

    Full description at Econpapers || Download paper

14. Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market. (2003). Islam, Anisul ; Hassan, M. Kabir ; Basher, Syed.
    In: Finance.
    RePEc:wpa:wuwpfi:0310015.

    Full description at Econpapers || Download paper

15. Comovement in international equity markets: A sectoral view. (2003). Jansen, W. Jos ; Berben, Robert-Paul.
    In: Finance.
    RePEc:wpa:wuwpfi:0310001.

    Full description at Econpapers || Download paper

16. Market Integration and Contagion. (2003). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9510.

    Full description at Econpapers || Download paper

17. On the pervasive effects of Federal Reserve settlement regulations. (2003). Griffiths, Mark D. ; Cyree, Ken B. ; Winters, Drew B..
    In: Review.
    RePEc:fip:fedlrv:y:2003:i:mar:p:27-46:n:v.85no.2.

    Full description at Econpapers || Download paper

18. Contagion: an empirical test. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:775.

    Full description at Econpapers || Download paper

19. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-40.

    Full description at Econpapers || Download paper

20. Choosing the best volatility models: the model confidence set approach. (2003). Nason, James ; Lunde, Asger ; Hansen, Peter.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2003-28.

    Full description at Econpapers || Download paper

21. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns. (2003). McCurdy, Thomas ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-38.

    Full description at Econpapers || Download paper

22. There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-26.

    Full description at Econpapers || Download paper

23. The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets. (2002). Kutan, Ali ; Hayo, Bernd.
    In: Finance.
    RePEc:wpa:wuwpfi:0209001.

    Full description at Econpapers || Download paper

24. The stochastic volatility in mean model: empirical evidence from international stock markets. (2002). Koopman, Siem Jan ; Uspensky, Eugenie Hol.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:6:p:667-689.

    Full description at Econpapers || Download paper

25. Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off. (2002). Perron, Benoit.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-88.

    Full description at Econpapers || Download paper

26. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

    Full description at Econpapers || Download paper

27. Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate. (2002). Campbell, Sean D..
    In: Working Papers.
    RePEc:bro:econwp:2002-26.

    Full description at Econpapers || Download paper

28. An Empirical Analysis of Dynamic Interrelationships Among Inflation, Inflation Uncertainty, Relative Price Dispersion, and Output Growth. (2002). Vitek, Francis.
    In: Staff Working Papers.
    RePEc:bca:bocawp:02-39.

    Full description at Econpapers || Download paper

29. A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang. (2002). Ventosa-Santaulària, Daniel.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:513.02.

    Full description at Econpapers || Download paper

30. Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield. (2001). Shanken, Jay ; Tamayo, Ane.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8666.

    Full description at Econpapers || Download paper

31. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8566.

    Full description at Econpapers || Download paper

32. Stock Return Predictability: Is it There?. (2001). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8207.

    Full description at Econpapers || Download paper

33. Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns. (2001). Marrocu, Emanuela ; Boero, Gianna.
    In: Working Paper CRENoS.
    RePEc:cns:cnscwp:200110.

    Full description at Econpapers || Download paper

34. Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices. (2000). Stein, Jeremy ; Hong, Harrison ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7687.

    Full description at Econpapers || Download paper

35. Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden.. (2000). Berg, Lennart.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2000_009.

    Full description at Econpapers || Download paper

36. Is There a Structural Break in the Equity Premium?. (2000). Nelson, Charles ; Morley, James ; Kim, Chang-Jin.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0024.

    Full description at Econpapers || Download paper

37. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

    Full description at Econpapers || Download paper

38. Semi-Parametric Weak Instrument Regressions with an Application to the Risk-return Trade-off. (2000). Perron, Benoit.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1576.

    Full description at Econpapers || Download paper

39. Evidence on the Economics of Equity Return Volatility Clustering. (2000). Connolly, Robert ; Stivers, Christopher T..
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1575.

    Full description at Econpapers || Download paper

40. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets. (2000). Timmermann, Allan ; Lunde, Asger.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1216.

    Full description at Econpapers || Download paper

41. Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility. (2000). Pilgram, Berndt ; Mees, Alistair .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1162.

    Full description at Econpapers || Download paper

42. Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?. (2000). Morley, James.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0915.

    Full description at Econpapers || Download paper

43. Higher-order dependence in the general Power ARCH process and a special case. (1999). Teräsvirta, Timo ; He, Changli.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0315.

    Full description at Econpapers || Download paper

44. Implied Volatility Functions: A Reprise. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-027.

    Full description at Econpapers || Download paper

45. Expected stock returns and volatility in a production economy: a theory and some evidence. (1999). Smith, Stephen D. ; Singal, Padamja.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:99-8.

    Full description at Econpapers || Download paper

46. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

    Full description at Econpapers || Download paper

47. Asymmetric Volatility and Risk in Equity Markets. (1997). Wu, Guojun ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6022.

    Full description at Econpapers || Download paper

48. One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -. (1996). Kaiser, Thomas.
    In: Econometrics.
    RePEc:wpa:wuwpem:9612007.

    Full description at Econpapers || Download paper

49. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

    Full description at Econpapers || Download paper

50. Short-term options with stochastic volatility: Estimation and empirical performance. (). Fiorentini, Gabriele ; Rubio, Gonzalo ; Angel León, .
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:02.

    Full description at Econpapers || Download paper

Report date: 2025-09-21 17:59:25 || Missing content? Let us know