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Citations for "Breaks and persistency: macroeconomic causes of stock market volatility"

by Beltratti, A. & Morana, C.

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  1. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
  2. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
  3. David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  4. Albaity, Mohamed Shikh, 2011. "Impact of the monetary policy instruments on Islamic stock market index return," Economics Discussion Papers 2011-26, Kiel Institute for the World Economy.
  5. Hartwell , Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies: a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
  6. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 80-109, June.
  7. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
  8. Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008. "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  9. Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research.
  10. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
  11. Cassola, Nuno & Morana, Claudio, 2006. "Comovements in volatility in the euro money market," Working Paper Series 0703, European Central Bank.
  12. Charfeddine, Lanouar & Ajmi, Ahdi Noomen, 2013. "The Tunisian stock market index volatility: Long memory vs. switching regime," Emerging Markets Review, Elsevier, vol. 16(C), pages 170-182.
  13. Claudio Morana, 2004. "The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?," ICER Working Papers 29-2004, ICER - International Centre for Economic Research.
  14. Islami, Mevlud & Kurz-Kim, Jeong-Ryeol, 2013. "A single composite financial stress indicator and its real impact in the euro area," Discussion Papers 31/2013, Deutsche Bundesbank, Research Centre.
  15. Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach," Working Papers 593, Queen Mary University of London, School of Economics and Finance.
  16. Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
  17. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
  18. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 0982, European Central Bank.
  19. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
  20. Claudio Morana, 2009. "An omnibus noise filter," Computational Statistics, Springer, vol. 24(3), pages 459-479, August.
  21. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.
  22. Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: a fractionally integrated SETAR model," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 519-526.
  23. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
  24. Bekhet, Hussain Ali & Matar, Ali, 2013. "Co-integration and causality analysis between stock market prices and their determinates in Jordan," Economic Modelling, Elsevier, vol. 35(C), pages 508-514.
  25. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.
  26. Morana, Claudio, 2009. "On the macroeconomic causes of exchange rate volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 328-350.
  27. L. Arturo Bernal Ponce & Francisco Venegas Martínez, 2011. "Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 26(2), pages 187-216.
  28. Morana, Claudio & Beltratti, Andrea, 2008. "Comovements in international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 31-45, February.
  29. Charfeddine Lanouar, 2014. "True or Spurious Long Memory in Volatility : Further Evidence on the Energy Futures Markets," Working Papers 2014-503, Department of Research, Ipag Business School.
  30. Conrad, Christian & Loch, Karin, 2012. "Anticipating Long-Term Stock Market Volatility," Working Papers 0535, University of Heidelberg, Department of Economics.
  31. repec:dgr:kubcen:200735 is not listed on IDEAS
  32. Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers 06-045, Stanford Institute for Economic Policy Research.
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