Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10012802143
This paper analyses the volatility transmission between European Global Systemically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation...
Persistent link: https://www.econbiz.de/10013299963
Persistent link: https://www.econbiz.de/10013355152
Persistent link: https://www.econbiz.de/10013355171
Persistent link: https://www.econbiz.de/10013463766
Persistent link: https://www.econbiz.de/10014473034
Persistent link: https://www.econbiz.de/10014478516
The COVID-19 pandemic raised the question whether gold and sovereign bonds are a safe haven during epidemics. To this end, this study employs a DCC-GARCH model to analyze the conditional correlations between daily returns of S&P 500 and MSCI Emerging Markets Index with gold and the major...
Persistent link: https://www.econbiz.de/10013406784
Persistent link: https://www.econbiz.de/10014632287
Persistent link: https://www.econbiz.de/10015049686