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A joint analysis of market indexes in credit default swap, volatility and stock markets
Fonseca, José da; Wang, Peiming - In: Applied economics 48 (2016) 19/21, pp. 1767-1784
Persistent link: https://www.econbiz.de/10011589737
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S&P 500 volatility, volatility regimes, and economic uncertainty
Adrangi, Bahram; Chatrath, Arjun; Raffiee, Kambiz - In: Bulletin of economic research 75 (2023) 4, pp. 1362-1387
Persistent link: https://www.econbiz.de/10014436045
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Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Changqing, Luo; Chi, Xie; Cong, Yu; Yan, Xu - In: Economic modelling 51 (2015), pp. 657-671
Persistent link: https://www.econbiz.de/10011476241
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Is the ESG portfolio less turbulent than a market benchmark portfolio?
Ouchen, Abdessamad - In: Risk management : an international journal 24 (2022) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10013163583
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Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?
Lin, Ling; Zhou, Zhongbao; Jiang, Yong; Ou, Yangchen - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-25
Persistent link: https://www.econbiz.de/10012822126
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Forecasting crude oil price volatility via a HM-EGARCH model
Lin, Yu; Yang, Xiaoming; Li, Fuxing - In: Energy economics 87 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012512591
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Gold-oil dependence dynamics and the role of geopolitical risks : evidence from a Markov-switching time-varying copula model
Tiwari, Aviral Kumar; Aye, Goodness C.; Gupta, Rangan; … - In: Energy economics 88 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012516211
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Revisiting portfolio flows : exchange rate nexus in emerging markets : a Markov Regime Switching MGARCH approach
Aydoğan, Berna; Vardar, Gülin; Yelkenci, Tezer - In: Macroeconomics and finance in emerging market economies 14 (2021) 3, pp. 219-240
Persistent link: https://www.econbiz.de/10012649576
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Regime specific spillovers across US sectors and the role of oil price volatility
Hernandez, Jose Arreola; Shahzad, Syed Jawad Hussain; … - In: Energy economics 107 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013202566
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Regime-switching energy price volatility : the role of economic policy uncertainty
Scarcioffolo, Alexandre Ribeiro; Etienne, Xiaoli Liao - In: International review of economics & finance : IREF 76 (2021), pp. 336-356
Persistent link: https://www.econbiz.de/10013175825