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Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets
Dhaene, Geert; Sercu, Piet; Wu, Jianbin - In: The journal of futures markets 42 (2022) 5, pp. 868-887
Persistent link: https://www.econbiz.de/10013187611
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Emerging equity markets connectedness, portfolio hedging strategies and effectiveness
Harrathi, Nizar; Aloui, Chaker; Houfi, Mohamed Ali; … - In: International journal of financial research 7 (2016) 2, pp. 189-201
Persistent link: https://www.econbiz.de/10011577189
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Relationship between major developed equity markets and major : frontier equity markets of world
Baig, Muhammad Mansoor; Bilal, Muhammad; Aslam, Waheed - In: Acta Universitatis Danubius / Oeconomica 12 (2016) 1, pp. 182-196
Persistent link: https://www.econbiz.de/10011527086
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Diversification, cost structure, and the risk premium of multinational corporations
Fillat, José L.; Garetto, Stefania; Oldenski, Lindsay - In: Journal of international economics 96 (2015) 1, pp. 37-54
Persistent link: https://www.econbiz.de/10011387637
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Systemic Illiquidity Noise-based measure : a solution for systemic liquidity monitoring in frontier and emerging markets
Dziwok, Ewa; Kara's, Marta A. - In: Risks : open access journal 9 (2021) 7, pp. 1-29
The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the Nelson- Siegel-Svensson...
Persistent link: https://www.econbiz.de/10012598934
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Frontier stock markets : local versus global factors
Blackburn, Douglas W.; Cakici, Nusret - In: The journal of investing : JOI 29 (2020) 3, pp. 108-127
Persistent link: https://www.econbiz.de/10013177807
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Dynamic herding analysis in a frontier market
Arjoon, Vaalmikki; Bhatnagar, Chandra Shekhar - In: Research in international business and finance 42 (2017), pp. 496-508
Persistent link: https://www.econbiz.de/10011750464
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An empirical analysis of herding behaviour : evidence from developed and frontier financial markets
Hakmaoui, Abdelati; El Jebari, Ouael - In: International journal of computational economics and … 13 (2023) 4, pp. 374-403
Persistent link: https://www.econbiz.de/10014439720
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Estimating VAR-MGARCH models in multiple steps
Carnero, M. Angeles; Eratalay, M. Hakan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 3, pp. 339-365
Persistent link: https://www.econbiz.de/10010384281
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On the effects of world stock market and oil price shocks on food prices : an empirical investigation based on TVP-VAR models with stochastic volatility
Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric - In: Energy economics 45 (2014), pp. 66-98
Persistent link: https://www.econbiz.de/10010504792