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The dynamics of volatility and correlation during periods of crisis : implications for active asset management
Esposito, Marcello - In: The journal of asset management 17 (2016) 3, pp. 135-140
Persistent link: https://www.econbiz.de/10011485140
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Copula methods for forecasting multivariate time series
Patton, Andrew J. - 2013
Persistent link: https://www.econbiz.de/10011507033
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Tracing the genesis of contagion in the oil-finance nexus
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating veteran rules derived from the empirical oil literature to filter oil supply, global demand, and oil demand shocks into discrete typical and extreme conditions. We show how these...
Persistent link: https://www.econbiz.de/10012120201
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Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks
Dempsey, Stephen J.; Harrison, David M.; Sheng, Hainan - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1075-1120
Persistent link: https://www.econbiz.de/10011535857
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Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya - 2014
Persistent link: https://www.econbiz.de/10010516044
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Correlation evidence in the dynamics of agricultural commodity prices
Boroumand, Raphaël Homayoun; Goutte, Stephane; … - In: Applied economics letters 21 (2014) 16/18, pp. 1238-1242
Persistent link: https://www.econbiz.de/10010465638
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Dynamic volatility spillover connectedness of sectoral indices of commodity and equity : evidence from India
Purankar, Shriram Anil; Singh, Vipul Kumar - In: International journal of management practice : IJMP 13 (2020) 2, pp. 151-177
Persistent link: https://www.econbiz.de/10012177949
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Investigation of the financial stability of S&P 500 using realized volatility and stock returns distribution
Akter, Nahida; Nobi, Ashadun - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10
correlation among the stocks for 15 years and found that, during the crisis period, the beta-coefficient between the market index … and stock’s prices and correlation among stock’s prices increased remarkably and decreased during the non-crisis period …
Persistent link: https://www.econbiz.de/10011856960
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Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513
change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …
Persistent link: https://www.econbiz.de/10011874650
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Correlation asymmetry and implication on hedging
Trabelsi, Abdelwahed; Ennabli, Asma - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 30-56
Persistent link: https://www.econbiz.de/10011862371