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Long memory analysis : an empirical investigation

Nazarian, Rafik; Naderi, Esmaeil; Gandali Alikhani, Nadiya - In: International journal of economics and financial issues … 4 (2014) 1, pp. 16-26

Persistent link: https://www.econbiz.de/10010519739

Modelling asymmetry in oil, gold and stock markets by a hidden cointegration technique

Hatemi-J, Abdulnasser; Irandoust, Manuchehr - In: Economia internazionale 68 (2015) 2, pp. 213-228

Persistent link: https://www.econbiz.de/10011304760

Volatility transmission across currencies and stock markets : GIIPS in crisis

Andrikopulos, Andreas A.; Samitas, Aristeidis; … - In: Applied financial economics 24 (2014) 19/21, pp. 1261-1283

Persistent link: https://www.econbiz.de/10010460183

Inter-markets volatility spillover in U.S. bitcoin and financial markets

Qarni, Muhammad Owais; Gulzar, Saqib; Fatima, Syeda Tamkeen - In: Journal of business economics and management 20 (2019) 4, pp. 694-714

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the …

Persistent link: https://www.econbiz.de/10012175787

Stock market interactions between the BRICS and the United States : evidence from asymmetric granger causality tests in the frequency domain

Chang, Tsangyao; Ranjbar, Omid; Jooste, Charl - In: Iranian economic review : journal of University of Tehran 21 (2017) 2, pp. 297-320

Persistent link: https://www.econbiz.de/10011730696

Futures-based measures of monetary policy and jump risk

Nkwoma, Inekwe John - In: Macroeconomic dynamics 21 (2017) 2, pp. 384-405

Persistent link: https://www.econbiz.de/10011686308

Risk volatility measurement : evidence from Indonesian stock market

Rahmi, Mustika; Azma, Nurul; Aminullah Achmad Muttaqin; … - In: Journal of Asian finance, economics and business : JAFEB 3 (2016) 3, pp. 57-65

Persistent link: https://www.econbiz.de/10011689514

Impact of exchange rate on stock market

Suriani, Seri; Kumar, M. Dileep; Jamil, Farhan; Saqib Muneer - In: International journal of economics and financial issues … 5 (2015) 1, pp. 385-388

Persistent link: https://www.econbiz.de/10011691201

Crude oil price volatility and its impact on Nigerian stock market performance (1985-2014)

Ojikutu, Olamide T.; Onolemhemhen, Rita U.; Isehunwa, … - In: International Journal of Energy Economics and Policy : IJEEP 7 (2017) 5, pp. 302-311

Persistent link: https://www.econbiz.de/10011750946

Quantile dependence between foreign exchange market and stock market : the case of Korea

Han, Heejoon; Lee, Na Kyeong - In: East Asian economic review 20 (2016) 4, pp. 519-544

This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the...

Persistent link: https://www.econbiz.de/10011765039