Search Results - subject:"ADCC GARCH"

Country risk and the interaction between gold price and gold stock index return volatilities : evidence from the South African market

Vengesai, Edson; Rupande, Lorraine; Muguto, Hilary Tinotenda - In: International journal of trade and global markets 15 (2022) 1, pp. 32-41

Persistent link: https://www.econbiz.de/10012887877

Market uncertainty and correlation between Bitcoin and Ether

Nakagawa, Kei; Sakemoto, Ryuta - In: Finance research letters 50 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10014239961

Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period

Ghorbel, Ahmed; Fakhfekh, Mohamed; Jeribi, Ahmed; … - In: The journal of risk finance : JRF 23 (2022) 2, pp. 206-244

Persistent link: https://www.econbiz.de/10013370537

Dynamic comparison of portfolio risk : clean vs dirty energy

Gargallo, Pilar; Lample, Luis; Miguel, Jesús; … - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013455537

Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

Esparcia, Carlos; Jareño, Francisco; Umar, Zaghum - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-43

Persistent link: https://www.econbiz.de/10013449304

Volatility transmission to the fine wine market

Ben Ameur, Hachmi; Le Fur, Eric - In: Economic modelling 85 (2020), pp. 307-316

Persistent link: https://www.econbiz.de/10012210659

Scandinavia : towards the European Monetary Union?

Stoupos, Nikolaos; Kiohos, Apostolos - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 278-291

Persistent link: https://www.econbiz.de/10012297309

Stock market linkages and spillover effects : an empirical analysis of select Asian markets

Sehgal, Sanjay; Bijoy, Kumar; Saini, Sakshi - In: Theoretical economics letters 9 (2019) 5, pp. 1447-1472

Persistent link: https://www.econbiz.de/10012104479

Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises

Demiralay, Sercan; Ulusoy, Veysel - Volkswirtschaftliche Fakultät, … - 2014

In this paper, we analyze time-varying correlations between commodity markets and S&P 500 index, employing a recent and novel technique: asymmetric dynamic conditional correlation (ADCC) model. Using weekly data from January 3, 1992 to December 27, 2013, we provide evidence of highly volatile...

Persistent link: https://www.econbiz.de/10011111137

Modeling international stock price comovements with high-frequency data

Ben Ameur, Hachmi; Jawadi, Fredj; Louhichi, Wael; … - In: Macroeconomic dynamics 22 (2018) 7, pp. 1875-1903

Persistent link: https://www.econbiz.de/10011918211