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~person:"Hammoudeh, Shawkat"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"Germany"
~subject:"Share price"
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Hammoudeh, Shawkat
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ECONIS (ZBW)
63
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63
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Inference on multiplicative component GARCH without any small-order moment
Francq, Christian
;
Kandji, Baye Matar
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206984
Saved in:
3
The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets : evidence from the pre- and post-COVID-19 periods
Tarchella, Salma
;
Khalfaoui, Rabeh
;
Hammoudeh, Shawkat
- In:
Research in international business and finance
67
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014451553
Saved in:
4
Return-volatility relationships in cryptocurrency markets : evidence from asymmetric quantiles and non-linear ARDL approach
Karim, Muhammad Mahmudul
;
Ali, Md Hakim
;
Yarovaya, Larisa
; …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014470582
Saved in:
5
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
6
Time-varying dependence dynamics between international commodity prices and Australian industry stock returns : a perspective for portfolio diversification
Tiwari, Aviral Kumar
;
Abakah, Emmanuel Joel Aikins
; …
- In:
Energy economics
108
(
2022
),
pp. 1-30
Persistent link: https://www.econbiz.de/10013203257
Saved in:
7
The connectedness in the world petroleum futures markets using a Quantile VAR approach
Jena, Sangram Keshari
;
Tiwari, Aviral Kumar
;
Abakah, …
- In:
Journal of commodity markets
27
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014276628
Saved in:
8
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
9
Short- and long-run tail dependence switching in MENA stock markets : the roles of oil, bitcoin, gold and VIX
Mensi, Walid
;
Hammoudeh, Shawkat
;
Tiwari, Aviral Kumar
; …
-
2019
Persistent link: https://www.econbiz.de/10012144916
Saved in:
10
Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries
Mensi, Walid
;
Hammoudeh, Shawkat
;
Xuan Vinh Vo
;
Kang, …
- In:
Journal of international financial markets, …
75
(
2021
),
pp. 1-27
Persistent link: https://www.econbiz.de/10012820834
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