Narrow search
Showing 1 - 10 of 17,865
Cover Image
The impact of global uncertainties on the spillover among the European carbon market, the Chinese oil futures market, and the international oil futures market
Liu, Hong; Zhu, Yulin; Cui, Na; Zheng, Yan - In: Finance research letters 67 (2024) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10015062461
Cover Image
Volatility spillovers between the oil market and the European Union carbon emission market
Reboredo, Juan Carlos - In: Economic modelling 36 (2014), pp. 229-234
Persistent link: https://www.econbiz.de/10010412356
Cover Image
Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors : a tale of two crises
Belhassine, Olfa - In: Research in international business and finance 53 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012548919
Cover Image
Global oil price and stock markets in oil exporting and European countries : evidence during the Covid-19 and the Russia-Ukraine war
Olayungbo, David Oluseun; Župarova, A. S.; Al-Faryan, … - In: Research in globalization 8 (2024), pp. 1-14
-Ukraine war period. As regards the volatility spillover, significant spillover is found from stock to oil market for Nigeria, vice … versa for Saudi Arabia and bi-directional volatility spillover found for the US, Italy and Germany during the COVID-19 … respectively while US, Italy and Germany should adopt policy coordination to stabilize oil-stock market volatility during low oil …
Persistent link: https://www.econbiz.de/10015047816
Cover Image
GARCH option pricing and implied FX volatility indices
Venter, Pierre J.; Maré, E. - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52
Persistent link: https://www.econbiz.de/10013173960
Cover Image
GARCH option pricing models and the variance risk premium
Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21
premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX … one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use …
Persistent link: https://www.econbiz.de/10012174118
Cover Image
Price and volatility spillovers between crude oil and natural gas markets in Europe and Japan-Korea
Perifanis, Theodosios; Dagoumas, Athanasios - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 5, pp. 432-446
Persistent link: https://www.econbiz.de/10012506482
Cover Image
Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique; Floros, Christos; Aragó Manzana, Vicent - In: Journal of empirical finance 28 (2014), pp. 60-77
Persistent link: https://www.econbiz.de/10011284508
Cover Image
Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
Cover Image
Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017
volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic … causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. A likelihood ratio test … is developed to test the multivariate conditional volatility Diagonal BEKK model, which has valid regularity conditions …
Persistent link: https://www.econbiz.de/10011658757