Related references
Note: Only part of the references are listed.Chasing the 'green bandwagon' in times of uncertainty
Catalin Dragomirescu-Gaina et al.
ENERGY POLICY (2021)
Investors' attention and information losses under market stress
Dionisis Philippas et al.
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION (2021)
Common-factor stochastic volatility modelling with observable proxy
Yizhou Fang et al.
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE (2020)
Signal-herding in cryptocurrencies
Dionisis Philippas et al.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY (2020)
Energy performance evaluation of OECD countries using Bayesian stochastic frontier analysis and Bayesian network classifiers
Mehmet Ali Cengiz et al.
JOURNAL OF APPLIED STATISTICS (2018)
Herding behaviour and volatility clustering in financial markets
Noemi Schmitt et al.
QUANTITATIVE FINANCE (2017)
Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries
Aktham I. Maghyereh et al.
ENERGY ECONOMICS (2017)
Bond Market Exposures to Macroeconomic and Monetary Policy Risks
Dongho Song
REVIEW OF FINANCIAL STUDIES (2017)
Box-Cox realized asymmetric stochastic volatility models with generalized Student's t-error distributions
Didit B. Nugroho et al.
JOURNAL OF APPLIED STATISTICS (2016)
Preferences, Homophily, and Social Learning
Ilan Lobel et al.
OPERATIONS RESEARCH (2016)
Kalman filter-based modelling and forecasting of stochastic volatility with threshold
Himadri Ghosh et al.
JOURNAL OF APPLIED STATISTICS (2015)
Developing an early warning system to predict currency crises
Cuneyt Sevim et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)
Hedge fund systemic risk signals
Roberto Savona
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)
Investor Flows and the 2008 Boom/Bust in Oil Prices
Kenneth J. Singleton
MANAGEMENT SCIENCE (2014)
Impact of uncertainty on high frequency response of the US stock markets to the Fed's policy surprises
Hardik A. Marfatia
QUARTERLY REVIEW OF ECONOMICS AND FINANCE (2014)
Estimating a Structural Model of Herd Behavior in Financial Markets
Marco Cipriani et al.
AMERICAN ECONOMIC REVIEW (2014)
Herding and Speculation in the Crude Oil Market
Celso Brunetti et al.
ENERGY JOURNAL (2013)
Corporate social responsibility and earnings forecasting unbiasedness
Leonardo Becchetti et al.
JOURNAL OF BANKING & FINANCE (2013)
Does herding affect volatility? Implications for the Spanish stock market
Natividad Blasco et al.
QUANTITATIVE FINANCE (2012)
DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS
Massimiliano Caporin et al.
JOURNAL OF ECONOMIC SURVEYS (2012)
Firm specific and macro herding by professional and amateur investors and their effects on market volatility
Itzhak Venezia et al.
JOURNAL OF BANKING & FINANCE (2011)
An empirical analysis of herd behavior in global stock markets
Thomas C. Chiang et al.
JOURNAL OF BANKING & FINANCE (2010)
The Determinants of Stock and Bond Return Comovements
Lieven Baele et al.
REVIEW OF FINANCIAL STUDIES (2010)
Comparing and evaluating Bayesian predictive distributions of asset returns
John Geweke et al.
INTERNATIONAL JOURNAL OF FORECASTING (2010)
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
Peter Christoffersen et al.
MANAGEMENT SCIENCE (2009)
International Stock Return Comovements
Geert Bekaert et al.
JOURNAL OF FINANCE (2009)
Price-based return comovement
T. Clifton Green et al.
JOURNAL OF FINANCIAL ECONOMICS (2009)
HERD BEHAVIOR IN FINANCIAL MARKETS: AN EXPERIMENT WITH FINANCIAL MARKET PROFESSIONALS
Marco Cipriani et al.
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION (2009)
Modeling the dynamics of credit spreads with stochastic volatility
Kris Jacobs et al.
MANAGEMENT SCIENCE (2008)
Increasing correlations or just fat tails?
Rachel A. J. Campbell et al.
JOURNAL OF EMPIRICAL FINANCE (2008)
Stochastic volatility with leverage: Fast and efficient likelihood inference
Yasuhiro Omori et al.
JOURNAL OF ECONOMETRICS (2007)
Analysis of high dimensional multivariate stochastic volatility models
Siddhartha Chib et al.
JOURNAL OF ECONOMETRICS (2006)
Multivariate stochastic volatility via wishart processes
Alexander Philipov et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2006)
Bad news and Dow Jones make the Spanish stocks go round
N Blasco et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2005)
No contagion, only interdependence: Measuring stock market comovements
KJ Forbes et al.
JOURNAL OF FINANCE (2002)
Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models
R Engle
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2002)
Markov chain Monte Carlo methods for stochastic volatility models
S Chib et al.
JOURNAL OF ECONOMETRICS (2002)
An examination of herd behavior in equity markets: An international perspective
EC Chang et al.
JOURNAL OF BANKING & FINANCE (2000)
Share Paper
