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Investigating volatility transmission across international equity markets using multivariate fractional models

Saâdaoui, Foued; Ghadhab, Imen - In: International transactions in operational research : a … 30 (2023) 5, pp. 2139-2157

Persistent link: https://www.econbiz.de/10014259113

Dynamic dependence structure between energy markets and the Italian stock index

Masala, Giovanni - In: Investment management and financial innovations 15 (2018) 2, pp. 60-67

Persistent link: https://www.econbiz.de/10012055096

The interactions between oil prices and Borsa Istanbul sector indices

Cagli, Efe Çaglar; Taşkın, Fatma Dilvin; Mandacı, … - In: International journal of economic policy in emerging … 7 (2014) 1, pp. 55-65

Persistent link: https://www.econbiz.de/10010413324

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10012520863