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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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When times get tough, gold is golden
Areal, Nelson; Oliveira, Benilde; Sampaio, Raquel … - In: The European journal of finance 21 (2015) 4/6, pp. 507-526
Persistent link: https://www.econbiz.de/10010528951
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How past market movements affect correlation and volatility
Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of international money and finance 50 (2015), pp. 78-107
Persistent link: https://www.econbiz.de/10010465421
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Correlation and Volatility Asymmetries in International Equity Markets : Another Look at the Myth of Diversification
O'Toole, CFA, Randy - 2013
realized correlation and volatility. Using a simple ordinary least squares (OLS) regression framework, correlations are shown … much greater in down markets than in up markets. This suggests that it is not a lack of diversification that matters for …
Persistent link: https://www.econbiz.de/10013075661
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Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study
Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90
Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …
Persistent link: https://www.econbiz.de/10012695346
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Portfolio diversification and oil price shocks : a sector wide analysis
Mohsin Ali; Wajahat Azmi; Khan, Aftab Parvez - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 3, pp. 251-260
Persistent link: https://www.econbiz.de/10012301835
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Do oil producing countries offer international diversification benefits? : evidence from GCC countries
Mimouni, Karim; Charfeddine, Lanouar; Al-Azzam, Moh'd - In: Economic modelling 57 (2016), pp. 263-280
Persistent link: https://www.econbiz.de/10011646913
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The determinants of co-movement dynamics between sukuk and conventional bonds
Hassan, M. Kabir; Paltrinieri, Andrea; Dreassi, Alberto; … - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 73-84
Persistent link: https://www.econbiz.de/10012034513
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Dynamic correlations and domestic-global diversification
Li, Leon - In: Research in international business and finance 39 (2017), pp. 280-290
Persistent link: https://www.econbiz.de/10011876476
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Commodity financialization and sector ETFs : Evidence from crude oil futures
Liu, Pan; Vedenov, Dmitrij V.; Power, Gabriel J. - In: Research in international business and finance 51 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012208332