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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. 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 1-30, June.
  2. Nuno Cassola & Claudio Morana, 2008. "Modeling Short-Term Interest Rate Spreads in the Euro Money Market," International Journal of Central Banking, International Journal of Central Banking, vol. 4(4), pages 1-37, December.
  3. Fabio C. Bagliano & Claudio Morana, 2015. "It ain't over till it's over: A global perspective on the Great Moderation-Great Recession interconnection," Working papers 031, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  4. 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.
  5. Kim, Kun Ho, 2014. "Counter-cyclical risk aversion," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 384-401.
  6. 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.
  7. Christian Conrad & Karin Loch, 2015. "Anticipating Long‐Term Stock Market Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1090-1114, November.
  8. Ali Umar Ahmad & Adam Abdullah & Zunaidah Sulong & Ahmad Tijjani Abdullahi, 2015. "The Review of Stock Returns and Macroeconomic Variables," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 5(5), pages 154-181, May.
  9. 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.
  10. Claudio Morana, 2005. "The Japanese deflation: has it had real effects? Could it have been avoided?," Applied Economics, Taylor & Francis Journals, vol. 37(12), pages 1337-1352.
  11. 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.
  12. Claudio Morana & Andrea Beltratti, 2006. "Structural breaks and common factors in the volatility of the Fama-French factor portfolios," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1059-1073.
  13. 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.
  14. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
  15. 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.
  16. Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research.
  17. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
  18. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
  19. Mu-Fen Chao & Shing-Yau Chen, 2012. "A Study of Factors Influencing Foreign Share Holdings in the Taiwan Semiconductor Industry," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 153-170, January.
  20. David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
  21. 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.
  22. repec:ipg:wpaper:2014-503 is not listed on IDEAS
  23. Morana, Claudio, 2009. "On the macroeconomic causes of exchange rate volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 328-350.
  24. 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 (IfW).
  25. Cizek, P. & Haerdle, W. & Spokoiny, V., 2007. "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Discussion Paper 2007-35, Tilburg University, Center for Economic Research.
  26. 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.
  27. 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.
  28. Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 189-204.
  29. Terence Tai-Leung Chong & Shiyu Lin, 2017. "Predictive models for disaggregate stock market volatility," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 261-288, August.
  30. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
  31. Silva-Correa, María de los Ángeles & Martínez-Marca, José Luís & Venegas-Martínez, Francisco, 2016. "Impacto del mercado de derivados en la política monetaria: un modelo de volatilidad estocástica
    [Impact of the Derivatives Market on Monetary Policy: A Stochastic Volatility Model]
    ," MPRA Paper 75705, University Library of Munich, Germany.
  32. 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.
  33. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
  34. repec:spt:apfiba:v:7:y:2017:i:5:f:7_5_5 is not listed on IDEAS
  35. Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers 06-045, Stanford Institute for Economic Policy Research.
  36. Cho, Jaeho & Yoo, Byoung Hark, 2011. "The Korean stock market volatility during the currency crisis and the credit crisis," Japan and the World Economy, Elsevier, vol. 23(4), pages 246-252.
  37. Ke Yang & Langnan Chen, 2014. "Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect," International Review of Finance, International Review of Finance Ltd., vol. 14(3), pages 345-392, 09.
  38. L. Arturo Bernal Ponce & Humberto Valencia Herrera, 2010. "Relación entre inflación y volatilidad de derivados financieros: el caso de México," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(1), pages 18-28.
  39. 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.
  40. Cosset, Jean-Claude & Somé, Hyacinthe Y. & Valéry, Pascale, 2016. "Credible reforms and stock return volatility: Evidence from privatization," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 99-120.
  41. 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.
  42. Claudio Morana, 2009. "An omnibus noise filter," Computational Statistics, Springer, vol. 24(3), pages 459-479, August.
  43. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.
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