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Time-varying connectedness and contagion between commodity prices and exchange rate in Sub-Saharan Africa

Opoku, Richard Takyi; Adam, Anokye M.; Isshaq, Zangina … - In: Cogent economics & finance 11 (2023) 2, pp. 1-31

the currency markets in sub-Saharan Africa and the potential for contagion at various time scales. We examine the degree … of time-varying connectivity and contagion between commodities and the exchange rates of sub-Saharan African countries … reveal significant spillovers between commodities and exchange rates during economic turmoil, indicating contagion among the …

Persistent link: https://www.econbiz.de/10014503081

On the goodness-of-fits of the generalized lambda distribution on high-frequency stock index returns

Owusu Junior, Peterson; Jeyasreedharan, Nagaratnam; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-20

In this paper, we investigate the goodness-of-fit of the flexible four-parameter generalized Lambda Distribution (GLD) for high-frequency 5-min returns sampled from the DJI30 Index. Applying Moment Matching (MM) and Maximum Likelihood Estimation (MLE) techniques, we highlight the significance of...

Persistent link: https://www.econbiz.de/10013426215

Does volatility in cryptocurrencies drive the interconnectedness between the cryptocurrencies market? : insights from wavelets

Agyei, Samuel Kwaku; Adam, Anokye M.; Bossman, Ahmed; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-34

We present a multi-scale and time-frequency analysis of the degree of integration and the lead-lag relationship between six cryptocurrencies (i.e., Bitcoin, Bitcoincash, Ethereum, Litecoin, Ripple, and Tether) and the cryptocurrency-implied volatility index (VCRIX). As a result, the wavelet...

Persistent link: https://www.econbiz.de/10013460244