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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda

Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17

Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC … and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis …. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to …

Persistent link: https://www.econbiz.de/10012021528

Dynamic linkages between gold and equity prices : evidence from Indian financial services and information technology companies

Dey, Shubhasis; Sampath, Aravind - In: Finance research letters 25 (2018), pp. 41-46

Persistent link: https://www.econbiz.de/10012003426

The effect of spillover on volatility forecasting : an empirical study in Indian Stock Market

Karmakar, Madhusudan; Shukla, Girja Kant - In: Metamorphosis : a journal of management research 15 (2016) 1, pp. 20-30

Persistent link: https://www.econbiz.de/10011625682

Market interdependence and volatility transmission among major crops

Gardebroek, Cornelis; Hernandez, Manuel A.; Robles, Miguel - In: Agricultural economics : the journal of the … 47 (2016) 2, pp. 141-155

Persistent link: https://www.econbiz.de/10011662000

Return and volatility spillovers between currency and bond markets in India

Sahoo, Sudarsana; Kumar Behera, Harendra; Trivedi, Pushpa L. - In: Macroeconomics and finance in emerging market economies 12 (2019) 2, pp. 155-173

Persistent link: https://www.econbiz.de/10012176862

Volatility effects of index trading and spillovers on US agricultural futures markets : a multivariate GARCH approach

Sanjuán-López, Ana I.; Dawson, Philip J. - In: Journal of agricultural economics 68 (2017) 3, pp. 822-838

Persistent link: https://www.econbiz.de/10011949368

Is small beautiful? : size effects of volatility spillovers for firm performance and exchange rates in tourism

Chang, Chia-Lin; Hsu, Hui-kuang; McAleer, Michael - 2012

Persistent link: https://www.econbiz.de/10010360672

Stock and foreign exchange market linkages in emerging economies

Andreou, Elena; Matsi, Maria; Savvides, Andreas - In: Journal of international financial markets, … 27 (2013), pp. 248-268

Persistent link: https://www.econbiz.de/10010411739

Is small beautiful? : size effects of volatility spillovers for firm performance and exchange rates in tourism

Chang, Chia-Lin; Hsu, Hui-kuang; McAleer, Michael - In: The North American journal of economics and finance : a … 26 (2013), pp. 519-534

Persistent link: https://www.econbiz.de/10010367563

Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724114