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Dynamic connectedness between bitcoin, gold, and crude oil volatilities and returns
Ozturk, Serda Selin - In: Journal of risk and financial management : JRFM 13 (2020) 11/275, pp. 1-14
methods indicate that volatility connectedness is higher than the return connectedness among these assets. Furthermore …
Persistent link: https://www.econbiz.de/10012388777
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Oil price uncertainty shocks and global equity markets : evidence from a GVAR model
Salisu, Afees A.; Gupta, Rangan; Demirer, Rıza - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-26
This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the transmission of local and global shocks, while...
Persistent link: https://www.econbiz.de/10013380496
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Oil price, oil price implied volatility (OVX) and illiquidity premiums in the US : (a)symmetry and the impact of macroeconomic factors
Essa, Mohammad Sharik; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 13 (2020) 4/70, pp. 1-40
We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid …-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account …
Persistent link: https://www.econbiz.de/10012302569
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Dynamic responses of major equity markets to the US fear index
Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, pp. 1-23
.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …
Persistent link: https://www.econbiz.de/10012173007
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Modelling the effects of oil prices on global fertilizer prices and volatility
Chen, Ping-yu; Chang, Chia-ling; Chen, Chi-chung; … - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 78-114
mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …
Persistent link: https://www.econbiz.de/10011555888
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Dynamic spillovers between gulf cooperation council's stocks, VIX, oil and gold volatility indices
Alqahtani, Abdullah; Chevallier, Julien - In: Journal of risk and financial management : JRFM 13 (2020) 4/69, pp. 1-17
Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the … of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly … and Qatar in terms of volatility indices, which should be the foremost concern of policymakers and banking analysts. …
Persistent link: https://www.econbiz.de/10012302563
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Asymmetric information flow between exchange rate, oil, and gold : new evidence from transfer entropy approach
Maiti, Moinak; Kayal, Parthajit - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-14
The present study used transfer entropy and effective transfer entropy to examine the asymmetric information flow between exchange rates, oil, and gold. The dataset is composed of daily data covering the period of 1 January 2018 to 31 December 2021. Further, the dataset is bifurcated for...
Persistent link: https://www.econbiz.de/10014301581
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Quantification of VaR : a note on VaR valuation in the South African equity market
Mabitsela, Lesedi; Maré, E.; Kufakunesu, Rodwell - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 103-126
The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be normally distributed. However, though simple to...
Persistent link: https://www.econbiz.de/10011552897
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Volatility spillovers among developed and developing countries : the global foreign exchange markets
Mohammed, Walid Abass - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-30
In this paper, we investigate the "static and dynamic" return and volatility spillovers’ transmission across developed …-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers …-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and …
Persistent link: https://www.econbiz.de/10012605811
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Volatility spillovers among cryptocurrencies
Smales, Lee A. - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-12
-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … running in the other direction. Our results suggest that USDT does not currently play an important role in volatility …
Persistent link: https://www.econbiz.de/10012792439