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Bidirectional volatility spillover effect between the exchange rate and stocks in the presence of structural breaks in selected Eastern European economies
Živkov, Dejan; Njegić, Jovan; Milenković, Ivan - In: Finance a úvěr 65 (2015) 6, pp. 477-498
Persistent link: https://www.econbiz.de/10011415785
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Does causal relation and calendar anomalies exist in metal stock and commodity index?
Jassal, Tajinder; Dhiman, Babli - In: International journal of financial innovation in … 2 (2018) 2, pp. 128-142
Persistent link: https://www.econbiz.de/10011999425
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010515402
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An analytical study on volatility and impact of selected sectoral indices on national stock exchange during Covid-19
Lekha Shree.S; Kanniammal, K. - In: Finance India : the quarterly journal of Indian … 37 (2023) 1, pp. 267-279
Persistent link: https://www.econbiz.de/10014414209
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Volatility and Kurtosis of daily stock returns at MSE
Ivanovski, Zoran; Stojanovski, Toni; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 2, pp. 209-221
we test the existence of the Gaussian distribution of stock returns and calculate the kurtosis of several stocks at the …
Persistent link: https://www.econbiz.de/10011456336
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Measuring return and volatility spillovers among sectoral stocks in Nigeria
Fasanya, Ismail Olaleke; Oyewole, Oluwatomisin; … - In: Zagreb international review of economics & business 22 (2019) 2, pp. 71-93
Persistent link: https://www.econbiz.de/10012174084
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Volatility spillovers in commodity markets
Chevallier, Julien; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1211-1227
Persistent link: https://www.econbiz.de/10010198563
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Hedging strategies among financial markets : the case of green and brown assets
Raheem, Ibrahim Dolapo; Akinkugbe, Oluyele F.; Hammed, … - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 831-873
Persistent link: https://www.econbiz.de/10014329087
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Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets : evidence from the Asian financial crisis
Sirimon Treepongkaruna; Eliza, Wu - In: Research in international business and finance 26 (2012) 3, pp. 335-352
Persistent link: https://www.econbiz.de/10009615550
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On the volatility of daily stock returns of Total Nigeria Plc : evidence from GARCH models, value-at-risk and backtesting
Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial innovation : FIN 6 (2020) 18, pp. 1-25
This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models: sGARCH, girGARCH, eGARCH, iGARCH, aGARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH along with value at risk estimation and backtesting. We use daily data for Total Nigeria Plc...
Persistent link: https://www.econbiz.de/10012268756