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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

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

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

Impact of COVID-19 on performance on Indian stock indices : a study for NSE composite and sectoral indices

Joshi, Nisarg A. - In: Copernican Journal of Finance & Accounting : CJF&A 11 (2022) 4, pp. 125-146

Persistent link: https://www.econbiz.de/10014328731

Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model

Dhaoui, Abderrazak; Chevallier, Julien; Ma, Feng - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10012507450

The asymmetric impact of oil price shocks on sectoral returns in Pakistan : evidence from the non-linear ARDL approach

Ali, Basit; Khan, Dilawar; Shafiq, Muhammad; Magda, Róbert - In: Economies : open access journal 10 (2022) 2, pp. 1-15

This study explores the asymmetric impact of oil supply and demand shocks on the sectoral stock market returns of Pakistan. For this purpose, the study uses the non-linear autoregressive distributed lag (ARDL) approach based on monthly time series data for four sectors in the Pakistan Stock...

Persistent link: https://www.econbiz.de/10013164260

Quantile Treatment Effects in the Regression Discontinuity Design : Process Results and Gini Coefficient

Frölich, Markus - 2014

This paper shows nonparametric identification of quantile treatment effects (QTE) in the regression discontinuity design. The distributional impacts of social programs such as welfare, education, training programs and unemployment insurance are of large interest to economists. QTE are an...

Persistent link: https://www.econbiz.de/10013069679