Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Christoph Koser"'
Publikováno v:
Dipòsit Digital de la UB
Universidad de Barcelona
Universidad de Barcelona
This study examines the asymmetric impact of systemic liquidity on asset prices across market states. We use time-series conditional quantile regressions to estimate an otherwise traditional liquidity-augmented three-factor model for asset prices. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f5a55f7a902464a4e4aeffe7310308ad
http://hdl.handle.net/2445/182110
http://hdl.handle.net/2445/182110
Autor:
Juergen Klaus, Christoph Koser
Publikováno v:
SSRN Electronic Journal.
In this paper, we examine time-varying correlations among stock returns of Apple, Microsoft, Amazon and Google. Employing a multivariate DCC-GARCH model, we find that there are strong linkages among these four assets. Starting from lower levels, corr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d958d7aa77820a51c1de3ae2e33b813a
https://doi.org/10.2139/ssrn.3718788
https://doi.org/10.2139/ssrn.3718788
Publikováno v:
Dipòsit Digital de la UB
Universidad de Barcelona
O2, repositorio institucional de la UOC
Universitat Oberta de Catalunya (UOC)
Universidad de Barcelona
O2, repositorio institucional de la UOC
Universitat Oberta de Catalunya (UOC)
This study examines the dynamic linkages between commonality in liquidity in international stock markets and market volatility. Using a recently proposed liquidity measure as input in a variance decomposition exercise, we show that innovations to liq
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ce9e98f701e603f7df8fe480e72a1259
http://hdl.handle.net/2445/174958
http://hdl.handle.net/2445/174958
Autor:
Christoph Koser, Jürgen Klaus
Publikováno v:
Finance Research Letters. 38:101447
In this study, we examine the predictive power of the recently constructed Volfefe Index, the quantification of the tweeting activity of U.S. president Donald J. Trump, on the dynamics of European stock markets. After controlling for a set of macroec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::af6333fddb3df48158fd30bbedb993cb
https://doi.org/10.1016/j.frl.2020.101447
https://doi.org/10.1016/j.frl.2020.101447