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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

Persistent link: https://www.econbiz.de/10011539896

Uncovering equity market contagion among BRICS countries : an application of the multivariate GARCH model

Bonga-Bonga, Lumengo - In: The quarterly review of economics and finance : journal … 67 (2018), pp. 36-44

Persistent link: https://www.econbiz.de/10012034396

Financial integration and portfolio diversification : evidence from CIVETS stock markets

Saleem, Kashif; Al-Hares, Osama M.; Ahmed, Sheraz - In: Theoretical economics letters 6 (2016) 6, pp. 1304-1314

Persistent link: https://www.econbiz.de/10011659561

Financial market interdependencies : a quantile regression analysis of volatility spillover

Rejeb, Aymen Ben; Arfaoui, Mongi - In: Research in international business and finance 36 (2016), pp. 140-157

Persistent link: https://www.econbiz.de/10011594319

Emerging equity markets connectedness, portfolio hedging strategies and effectiveness

Harrathi, Nizar; Aloui, Chaker; Houfi, Mohamed Ali; … - In: International journal of financial research 7 (2016) 2, pp. 189-201

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Spillover effect in Asian financial markets : a VAR-structural GARCH analysis

Wang, Yu; Liu, Lei - In: China finance review international 6 (2016) 2, pp. 150-176

Persistent link: https://www.econbiz.de/10011722617

Intraindustry volatility spillovers in the MENA region

Öztürk, Serda Selin; Volkan, Engin - In: Emerging markets finance & trade : a journal of the … 51 (2015) 6, pp. 1163-1174

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Volatility spillovers across major emerging stock markets

Kumar, Surender; Haque, Moon Moon; Sharma, Prashant - In: Asia-Pacific journal of management research and … 13 (2017) 1/2, pp. 13-33

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Review on volatility and return analysis including emerging developments : evidence from stock market empirics

Kashyap, Sachin - In: Journal of modelling in management 18 (2023) 3, pp. 756-816

Persistent link: https://www.econbiz.de/10014334988

The equity market returns and volatility spillover from the US and Japanese markets to Asian frontier markets

Thi Ngan Nguyen; Phan Thi Kieu Hoa; Parikh, Nirav - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 4, pp. 491-508

Persistent link: https://www.econbiz.de/10013350713

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