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Volatility spillover dynamics between large-, mid-, and small-cap stocks in the time-frequency domain : implications for portfolio management
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Dash, Ashutosh - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-22
The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility spillover (i.e., connectedness) is elevated between large-,...
Persistent link: https://www.econbiz.de/10012795342
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Index futures volatility and trading activity : measuring causality at a multiple horizon
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Roubaud, David - In: Finance research letters 24 (2018), pp. 247-255
Persistent link: https://www.econbiz.de/10011982593
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Distributional predictability between commodity spot and futures : evidence from nonparametric causality-in-quantiles tests
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Hammoudeh, … - In: Energy economics 78 (2019), pp. 615-628
Persistent link: https://www.econbiz.de/10012160046
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The connectedness in the world petroleum futures markets using a Quantile VAR approach
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Abakah, … - In: Journal of commodity markets 27 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10014276628
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Integration between emerging market equity and global markets : is it fundamental or noisy? : evidence from wavelet denoised volatility spillover analysis in time and frequency dom...
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Abakah, … - In: Applied economics 55 (2023) 12, pp. 1312-1327
Persistent link: https://www.econbiz.de/10013554892
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Are exchange rates interdependent? : evidence using wavelet analysis
Kumar, Satish; Pathak, Rajesh; Tiwari, Aviral Kumar; … - In: Applied economics 49 (2017) 31/33, pp. 3231-3245
Persistent link: https://www.econbiz.de/10011774731
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Testing the long-memory features in return and volatility of NSE index
Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440
Persistent link: https://www.econbiz.de/10011396558
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The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework
Tiwari, Aviral Kumar; Mutascu, Mihai; Albulescu, … - In: Energy economics 40 (2013), pp. 714-733
Persistent link: https://www.econbiz.de/10010354948
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Comovement of exchange rates : a wavelet analysis
Andrieş, Alin Marius; Ihnatov, Iulian; Tiwari, Aviral Kumar - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 574-588
Persistent link: https://www.econbiz.de/10011562523
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Revisiting the financial volatility : derivative products relationship on Euronext.liffe using a frequency domain analysis
Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Brussels economic review 56 (2013) 3/4, pp. 349-364
Persistent link: https://www.econbiz.de/10010400880