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Browsing Research Articles (Economics) by Subject "Macroeconomic news"
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Does US news impact Asian emerging markets? Evidence from nonparametric causality-in-quantiles test (Elsevier, 2017-07)This paper aims to analyze whether US news on inflation and unemployment causes returns and volatility of seven emerging Asian stock markets from 1994 to 2014, by employing the causality-in-quantile approach. We find ...
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(Wiley, 2020-03)Jumps in the price process of assets represent a sort of tail risk and are found to affect many aspects of asset pricing, volatility modelling and asset allocation. In this paper, we detect price jumps in the realised ...
Now showing items 1-2 of 2