EMU-related news and financial markets in the Czech Republic, Hungary and Poland
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Bernd Hayo & David Buettner, 2011. "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," Post-Print hal-00716632, HAL.
- David Büttner & Bernd Hayo, 2008. "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," MAGKS Papers on Economics 200815, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
References listed on IDEAS
- Kocenda, Evzen & Valachy, Juraj, 2006.
"Exchange rate volatility and regime change: A Visegrad comparison,"
Journal of Comparative Economics,
Elsevier, vol. 34(4), pages 727-753, December.
- Juraj Valachy & Ev??en Ko?enda, 2003. "Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad," William Davidson Institute Working Papers Series 2003-622, William Davidson Institute at the University of Michigan.
- Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
- Mitchel Y. Abolafia (ed.), 2005. "Markets," Books, Edward Elgar Publishing, number 2788.
- Garima Vasishtha & Taimur Baig & Manmohan S. Kumar & Edda Zoli, 2006. "Fiscal and Monetary Nexus in Emerging Market Economies; How Does Debt Matter?," IMF Working Papers 06/184, International Monetary Fund.
- Martin D. D. Evans & Richard K. Lyons, 2017.
"How is Macro News Transmitted to Exchange Rates?,"
World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 14, pages 547-596
World Scientific Publishing Co. Pte. Ltd..
- Jan Hanousek & Randall K. Filer, 2000.
"The Relationship Between Economic Factors and Equity Markets in Central Europe,"
The Economics of Transition,
The European Bank for Reconstruction and Development, vol. 8(3), pages 623-638, November.
- Jan Hanousek and Randall K. Filer & Jan Hanousek and Randall K. Filer, 1997. "The Relationship Between Economic Factors and Equity Markets in Central Europe," William Davidson Institute Working Papers Series 78, William Davidson Institute at the University of Michigan.
- Aggarwal, Raj & Schirm, David C., 1998. "Asymmetric impact of trade balance news on asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 83-100, January.
- Hayo, Bernd & Kutan, Ali M., 2005. "IMF-related news and emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1126-1142, November.
- Michael Joyce & Vicky Read, 2002. "Asset price reactions to RPI announcements," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 253-270.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Engle, Robert F & Ng, Victor K, 1993.
" Measuring and Testing the Impact of News on Volatility,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1749-1778, December.
- Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
- Helge Berger & Michael Ehrmann & Marcel Fratzscher, 2011. "Monetary Policy in the Media," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(4), pages 689-709, June.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Andritzky, Jochen R. & Bannister, Geoffrey J. & Tamirisa, Natalia T., 2007.
"The impact of macroeconomic announcements on emerging market bonds,"
Emerging Markets Review,
Elsevier, vol. 8(1), pages 20-37, March.
- Jochen R. Andritzky & Geoffrey J Bannister & Natalia T. Tamirisa, 2005. "The Impact of Macroeconomic Announcements on Emerging Market Bonds," IMF Working Papers 05/83, International Monetary Fund.
- Susan M Schadler & Pipat Luengnaruemitchai, 2007. "Do Economists’ and Financial Markets’ Perspectives on the New Members of the EU differ?," IMF Working Papers 07/65, International Monetary Fund.
- Chaney, Eric, 2008. "Assessing pacification policy in Iraq: Evidence from Iraqi financial markets," Journal of Comparative Economics, Elsevier, vol. 36(1), pages 1-16, March.
- Toni Gravelle & Richhild Moessner, 2001. "Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency," Staff Working Papers 01-5, Bank of Canada.
- Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
- Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
- Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
- Zeynep Ãnder & Can Åimga-Mugan, 2006. "How Do Political and Economic News Affect Emerging Markets? Evidence from Argentina and Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(4), pages 50-77, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Joanna Olbrys, 2013. "Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S2), pages 145-157, March.
- Joanna Olbrys, 2013. "Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 33-50.
- Hatemi-J, Abdulnasser, 2012. "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, vol. 26(2), pages 273-280.
- Büttner, David & Hayo, Bernd, 2010. "News and correlations of CEEC-3 financial markets," Economic Modelling, Elsevier, vol. 27(5), pages 915-922, September.
- David Büttner & Bernd Hayo & Matthias Neuenkirch, 2012.
"The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland,"
Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 39(1), pages 19-44, February.
- David Büttner & Bernd Hayo & Matthias Neuenkirch, 2009. "The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland," MAGKS Papers on Economics 200903, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Hatemi-J, Abdulnasser & Mustafa, Alan, 2016. "Testing for Financial Market Integration of the Chinese Market with the US Market," MPRA Paper 72733, University Library of Munich, Germany.
- Mehmet Balcilar & Esin Cakan & Rangan Gupta, 2016. "Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test," Working Papers 201631, University of Pretoria, Department of Economics.
More about this item
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F30 - International Economics - - International Finance - - - General
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:44:y:2012:i:31:p:4037-4053. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAEC20 .