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~person:"Hammoudeh, Shawkat"
~subject:"ARCH model"
~subject:"Germany"
~subject:"Share price"
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Search: subject_exact:"GARCH model"
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ARCH model
Germany
Share price
ARCH-Modell
26
Volatility
21
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21
Oil price
12
Ölpreis
12
Aktienmarkt
9
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9
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26
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Hammoudeh, Shawkat
McAleer, Michael
209
Chang, Chia-Lin
82
Gupta, Rangan
68
Bauwens, Luc
61
Ma, Feng
60
Engle, Robert F.
59
Hafner, Christian M.
59
Teräsvirta, Timo
56
Caporale, Guglielmo Maria
54
Caporin, Massimiliano
51
Karanasos, Menelaos
44
Francq, Christian
42
Conrad, Christian
40
Laurent, Sébastien
40
Herwartz, Helmut
39
Bouri, Elie
38
Rombouts, Jeroen V. K.
38
Zakoïan, Jean-Michel
37
Paolella, Marc S.
36
Asai, Manabu
34
Kumar, Dilip
32
McMillan, David G.
32
Serletis, Apostolos
32
Bollerslev, Tim
31
Ardia, David
30
Zhang, Yaojie
30
Linton, Oliver
29
Rahbek, Anders
29
Saikkonen, Pentti
28
Allen, David E.
27
Kang, Sang Hoon
27
Mittnik, Stefan
27
Silvennoinen, Annastiina
27
Christoffersen, Peter F.
26
Hansen, Peter Reinhard
26
Tiwari, Aviral Kumar
26
Degiannakis, Stavros
25
Hamori, Shigeyuki
25
Huang, Zhuo
25
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University of Canterbury / Dept. of Economics and Finance
1
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Energy economics
8
International review of economics & finance : IREF
4
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3
The North American journal of economics and finance : a journal of financial economics studies
3
Research in international business and finance
2
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1
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ECONIS (ZBW)
26
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26
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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
Saved in:
7
Effects of price of gold on Bombay stock exchange sectoral indices : new evidence for portfolio risk management
Trabelsi, Nader
;
Gozgor, Giray
;
Tiwari, Aviral Kumar
; …
- In:
Research in international business and finance
55
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013264668
Saved in:
8
On the risk spillover across the oil market, stock market, and the oil related CDS sectors : a volatility impulse response approach
Balcilar, Mehmet
;
Hammoudeh, Shawkat
;
Toparli, Elif Akay
- In:
Energy economics
74
(
2018
),
pp. 813-827
Persistent link: https://www.econbiz.de/10011972977
Saved in:
9
Risk spillovers and portfolio management between developed and BRICS stock markets
Mensi, Walid
;
Hammoudeh, Shawkat
;
Kang, Sang Hoon
- In:
The North American journal of economics and finance : a …
41
(
2017
),
pp. 133-155
Persistent link: https://www.econbiz.de/10011878945
Saved in:
10
Global financial crisis and spillover effects among the U.S. and BRICS stock markets
Mensi, Walid
;
Hammoudeh, Shawkat
;
Nguyen, Duc Khuong
; …
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 257-276
Persistent link: https://www.econbiz.de/10011625114
Saved in:
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