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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...
Persistent link: https://www.econbiz.de/10011471074
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Testing the long-memory features in return and volatility of NSE index
Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440
Persistent link: https://www.econbiz.de/10011396558
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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
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An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries
Valadkhani, Abbas; Chen, George - In: International review of applied economics 28 (2014) 3, pp. 322-334
Persistent link: https://www.econbiz.de/10010355442
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Dependence between Croatian and European stock markets : a copula GARCH approach
Dajčman, Silvo - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 31 (2013) 2, pp. 209-232
Persistent link: https://www.econbiz.de/10010240939
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The impact of natural disasters on stock markets : evidence from Japan and the US
Wang, Lin; Kutan, Ali Mustafa - In: Comparative economic studies 55 (2013) 4, pp. 672-686
Persistent link: https://www.econbiz.de/10010246286
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Relationship between foreign exchange rate and stock price of commercial joint stock banks : evidence from Vietnam
Tran Mong Uyen Ngan - In: International journal of economics and finance 8 (2016) 7, pp. 193-200
Persistent link: https://www.econbiz.de/10011524011
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Volatility spillovers and the risk-return relation between stock and foreign exchange markets in Brazil
Ely, Regis Augusto - In: Latin American business review : journal of the … 16 (2015) 4, pp. 305-325
Persistent link: https://www.econbiz.de/10011458821
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Nigeria stock market volatility in comparison with some countries : application of asymmetric GARCH models
Uyaebo, Stephen O.; Atoi, Victor N.; Usman, Farida - In: CBN journal of applied statistics 6 (2015) 2, pp. 133-160
This study estimated Asymmetric generalized autoregressive conditional heteroscadasticity models with endogenous break dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and China spanning from February 14, 2000 to February 14,...
Persistent link: https://www.econbiz.de/10011460578
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Volatility transmission between bond and stock markets : case of emerging financial markets
Saadaoui, Amir; Boujelbene, Younes - In: Acta Universitatis Danubius / Oeconomica 10 (2014) 6, pp. 84-97
Persistent link: https://www.econbiz.de/10011508595