Clayton, Victoria 3168
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
in Total Papers Downloads
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Sovereign Rating Changes, Event Study, Country Beta Risk
Nonlinearity, Market Efficiency, Bicorrelations, Predictability, Stock Markets
R&D, Agency Costs, Capital Structure
Weak-form Efficiency, Nonlinear Predictability, Information Incorporation, Cross-country Determinants, Stock Markets
Predictability, Nonlinearity, Market Efficiency, Bicorrelations, Emerging stock markets
Beta, downside risk, emerging markets
Nonlinearity, Bicorrelation, Event study, Stock Market, Malaysia
wavelet multiscales, CAPM, downside beta, downside co-skewness
Time varying betas, GARCH, Censoring, Thin trading, Sample selectivity model
random walk, weak-form market efficiency, degree of market efficiency, determinants of market efficiency, private property rights
Time reversibility, Bispectrum, Trispectrum, Stock returns
market timing, beta, market phase, smooth transition
Trading activity, realized volatility, order imbalance
fractionally integrated VAR, bootstrap, generalized impulse response, spillovers, higher moments, intraday data
beta, market phase
Sovereign rating changes, Quadratic Model, Downside Model, Higher Order Downside Model.
sovereign ratings, realized volatility, realized skewness, realized kurtosis, stock market impact
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File name: JBFA.
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Banking crisis, crisis dates, Markov switching, three regimes, Banking system stock return
Intraday data, higher moments, Markov regime switching, long memory, sovereign credit rating, credit rating agency
Foreign investors, informational efficiency, price delay, financial liberalisation, Malaysia
intraday data, higher moments, information theory, long memory, fractional integrated VAR, generalized impulse response
generalized impulse response, fractionally integrated VAR model, long memory
Panel Inflated Ordered Probit, random effects, inflated outcomes, voting, Monetary Policy Committee
File name: j-6419.
Adaptive markets hypothesis (AMH), Efficient markets hypothesis (EMH), Evolving return predictability, Stock markets, Weak-form EMH
File name: irfi.
Quantitative Easing, Commodity Markets, Commodity Currencies, Static and Dynamic Spillovers, FIVAR
Volatility Spillover; Granger Causality Test; Realized Volatility, Bi-Power Variation
high involvement work practices, political skill, strategic HRM
model-based bootstrap, momentum and contrarian strategies, technical analysis
File name: ECOR.
volatility spillover; Granger causality test; realized volatility
common information, foreign exchange market, stochastic volatility, trading hours, volatility spillover
Markov switching, Asset linkages, Flight to quality, Flight from quality, Contagion
Credit rating, rating transition, prediction, information content, sovereign
CAPM, Thin trading, Emerging markets, Pakistan
initial public offerings (IPOs), Property trusts, REITs, REIT pricing
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