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A study on the volatility spillovers, long memory effects and interactions between carbon and energy markets : the impacts of extreme weather

Liu, Hsiang-hsi; Chen, Yi-chun - In: Economic modelling 35 (2013), pp. 840-855

Persistent link: https://www.econbiz.de/10010338308

Modeling and forecasting realized volatilities of Korean financial assets featuring long memory and asymmetry

Park, Soyoung; Shin, Dong-wan - In: Asia-Pacific journal of financial studies 43 (2014) 1, pp. 31-58

Persistent link: https://www.econbiz.de/10010348459

Information transmission across currency futures markets : evidence from frequency domain tests

Ciner, Cetin - In: International review of financial analysis 20 (2011) 3, pp. 134-139

Persistent link: https://www.econbiz.de/10009295794

Detecting contagion with correlation : volatility and timing matter

Dungey, Mardi H.; Yalama, Abdullah - 2010

Persistent link: https://www.econbiz.de/10009384425

Examining volatility spillover between Asian countries' stock markets

Jebran, Khalil; Iqbal, Amjad - In: China finance and economic review : CFER 4 (2016), pp. 1-13

Background: This study examined the volatility spillover effects between the stock markets of Asian countries, i.e., Pakistan, India, Sri Lanka, China, Japan, and Hong Kong. Methods: The daily data was considered from the period 4 January 1999 to 1 January 2014, consisting five trading days from...

Persistent link: https://www.econbiz.de/10011499342

Money and foreign exchange markets dynamics in Nigeria : a multivariate GARCH approach

Atoi, Ngozi V.; Nwambeke, Chinedu G. - In: CBN journal of applied statistics 12 (2021) 1, pp. 109-138

This study examines money market and foreign exchange market dynamics in Nigeria by estimating the dynamic correlation and volatility spillovers between Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate with data from January 2007 to August 2019. The study...

Persistent link: https://www.econbiz.de/10012604406