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Quantile time-frequency spillovers among green bonds, cryptocurrencies, and conventional financial markets

Zhao, Mingguo; Park, Hail - In: International review of financial analysis 93 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10014543461

Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy

Nitschka, Thomas - In: Journal of international money and finance 83 (2018), pp. 44-54

Persistent link: https://www.econbiz.de/10012000302

Spillovers on sectoral sukuk returns : evidence from country level analysis

Syed Mabruk Billah; Balli, Faruk; Balli, Hatice Ozer - In: Applied economics 54 (2022) 38, pp. 4402-4432

Persistent link: https://www.econbiz.de/10013410976

Responses of Swiss bond yields and stock prices to ECB policy surprises

Hager, Diego M.; Nitschka, Thomas - 2022

Persistent link: https://www.econbiz.de/10013365932

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: Inventi impact: microfinance & banking (2021) 2, pp. 70-82

Persistent link: https://www.econbiz.de/10012816012

International yield spillovers

Kim, Don H.; Ochoa, Marcelo - 2020

Persistent link: https://www.econbiz.de/10012437922

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

Persistent link: https://www.econbiz.de/10011663407

Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18

Through the application of the VAR-AGARCH model to intra-day data for three cryp-tocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 period and the COVID-19 period. We also estimate the...

Persistent link: https://www.econbiz.de/10012317582

The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

reports negative risk results for the entire cryptocurrency portfolio during the pandemic, except for the Ethereum (ETH). …

Persistent link: https://www.econbiz.de/10014295230

Unspanned Global Macro Risks in Bond Returns

Zhao, Feng - 2020

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of … bond returns unspanned by yield factors.Furthermore, we estimate macro-finance term structure models (MTSMs) with the …-movements in forward term premia in global bond markets …

Persistent link: https://www.econbiz.de/10012856793

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