Search Results - subject:"Shock and Volatility Transmission"

Shock and Volatility Transmissions between Bank Stock Returns in Romania: Evidence from a VARGARCH Approach

Chaibi, Anissa; Ulici, Maria - Institut de Préparation à l'Administration et à la … - 2014

We develop a VAR-GRACH approach to invesigate shock and volatility transmissions between bank stock returns in Romania during the 2007-2009 international financial crisis.Our findings provide eveidence of significant shock and volatility transmissions between Romanian bank returns.We also show...

Persistent link: https://www.econbiz.de/10010754708

Linkages between equity and global food markets : new evidence from including structural changes

Alshogeathri, Mofleh; Jouini, Jamel - In: Finance a úvěr 67 (2017) 3, pp. 166-198

Persistent link: https://www.econbiz.de/10011720709

Cross-market dynamics and optimal portfolio strategies in Latin American equity markets

Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: European business review : EBR ; the official journal … 27 (2015) 2, pp. 161-181

Persistent link: https://www.econbiz.de/10011299632

Cross-market dynamics and optimal portfolio strategies in Latin American equity markets

Arouri, Mohamed El Hédi; Lahiani, Amine; Nguyen, Duc Khuong - In: European Business Review 27 (2015) 2, pp. 161-181

/value – The authors extend the previous works on Latin American emerging markets by examining the extent of shock and volatility … transmission as well as portfolio design and management from the point of view of both the US (global) and Latin American investors. …

Persistent link: https://www.econbiz.de/10014714280

Shock and volatility transmissions between bank stock returns in Romania : evidence from a VAR-GARCH approach

Ulici, Maria; Chaibi, Anissa; Rault, Christophe - In: The journal of applied business research 30 (2014) 3, pp. 689-699

Persistent link: https://www.econbiz.de/10010370930