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Kinlaw, Will; Turkington, David - In: The journal of asset management 14 (2013) 6, pp. 385-399

Persistent link: https://www.econbiz.de/10010258478

Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras

Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021

This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...

Persistent link: https://www.econbiz.de/10012599014

A model of price correlations between clean energy indices and energy commodities

Kanamura, Takashi - In: Journal of sustainable finance & investment 12 (2022) 2, pp. 319-359

Persistent link: https://www.econbiz.de/10013177366

Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …

Persistent link: https://www.econbiz.de/10011874650

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130

Correlation asymmetry and implication on hedging

Trabelsi, Abdelwahed; Ennabli, Asma - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 30-56

Persistent link: https://www.econbiz.de/10011862371

Dynamic volatility spillover connectedness of sectoral indices of commodity and equity : evidence from India

Purankar, Shriram Anil; Singh, Vipul Kumar - In: International journal of management practice : IJMP 13 (2020) 2, pp. 151-177

Persistent link: https://www.econbiz.de/10012177949

Investigating abnormal volatility transmission patterns between emerging and developed stock markets : a case study

Spulbăr, Cristi; Trivedi, Jatin; Birau, Ramona - In: Journal of business economics and management 21 (2020) 6, pp. 1561-1592

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents,...

Persistent link: https://www.econbiz.de/10012505328

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

ETF risk models

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10013407268

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