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The comovements of tail risks in time and frequency domains : evidence from US and emerging Asian stock markets

Baba, Boubekeur - In: Future business journal 10 (2024) 1, pp. 1-20

The study applies the wavelet local multiple correlations to investigate the level of comovements among the tail risks of US and emerging Asian stock markets in both time and frequency domains. Through this empirical investigation, we address the question of how the transmission of tail risk...

Persistent link: https://www.econbiz.de/10015411007

A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets

Manner, Hans; Rodriguez, Gabriel; Stöckler, Florian - 2021

Persistent link: https://www.econbiz.de/10012819659

Spillovers and portfolio optimization of precious metals and global/regional equity markets

Hernandez, Jose Arreola; Kang, Sang Hoon; Yoon, Seong-min - In: Applied economics 54 (2022) 20, pp. 2320-2342

Persistent link: https://www.econbiz.de/10012875943

Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries

Mensi, Walid; Hammoudeh, Shawkat; Vo Xuan Vinh; Kang, … - In: Journal of international financial markets, … 75 (2021), pp. 1-27

Persistent link: https://www.econbiz.de/10012820834

Value at risk and return in Chinese and the US stock markets : double long memory and fractional cointegration

Tan, Zhengxun; Xiao, Binuo; Huang, Yilong; Zhou, Li - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012821412

Stock markets linkages before, during and after subprimes crisis : bivariate BEKK GARCH (1, 1) and DCC models

Abdelkefi, Samar Zlitni; Khoufi, Walid - In: International journal of economics, finance and … 3 (2015) 3, pp. 213-230

Persistent link: https://www.econbiz.de/10011389712

Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries

Chkir, Imed Eddine; Guesmi, Khaled; Brayek, Angham Ben; … - In: Research in international business and finance 54 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012581526

Financial integration in emerging economies : an application of threshold cointegration

Ali, Sajid; Ur Rehman, Mobeen; Shahzad, Syed Jawad Hussain - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 4, pp. 213-228

Persistent link: https://www.econbiz.de/10012657687

The footprints of COVID-19 on Central Eastern European stock markets : an intraday analysis

Aslam, Faheem; Nogueiro, Francisca; Brasil, Mariana; … - In: Post-communist economies 33 (2021) 6, pp. 751-769

Persistent link: https://www.econbiz.de/10012609486

The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

Persistent link: https://www.econbiz.de/10012625628