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Regional volatility: common or country-specific? : exploration of international stock market

Mobarek, Asma; Li, Michelle - In: Studies in economics and finance 31 (2014) 4, pp. 406-425

Persistent link: https://www.econbiz.de/10011339593

Oil prices and their long-term relationship with macroeconomic and financial indicators

Bucevska, Vesna; Gjelevski, Borjan; Matevska, Lea - In: Economic review : journal of economics & business 21 (2023) 1, pp. 3-24

The objective of this paper is to find out whether there is a long-term relationship or in other words cointegration, between the prices of oil futures and the following factors: the consumer price index (CPI), the exchange rate of the USD to the EUR, the prices of gold, and the price of...

Persistent link: https://www.econbiz.de/10014466537

Asymmetric volatility spillover between crude oil and other asset markets

Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - 2023

This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and … other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility … vary over time. Our results reveal that the stock market is the dominant contributor to volatility spillover, while the …

Persistent link: https://www.econbiz.de/10014433363

Asymmetric return and volatility transmission in conventional and Islamic equities

Umar, Zaghum; Suleman, Tahir - In: Risks : open access journal 5 (2017) 2, pp. 1-18

asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and …

Persistent link: https://www.econbiz.de/10011643393

Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets

Smales, Lee A. - 2019

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

Persistent link: https://www.econbiz.de/10012867250

Volatility Spillover from World Oil Spot Markets to Aggregate and Electricity Stock Index Returns in Turkey

Soytas, Ugur - 2020

This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we...

Persistent link: https://www.econbiz.de/10012857517

The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading : toward theoretical progress

Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies : open access journal 7 (2019) 3/71, pp. 1-17

This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....

Persistent link: https://www.econbiz.de/10012029331

Does Volatility Allow for Style Rotation? Evidence from International Stock Market Returns

Dori, Fabian - 2012

focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …

Persistent link: https://www.econbiz.de/10013096369

Time-frequency moment interdependence of equity, oil, and gold markets during the COVID-19 pandemic

Ahmed, Walid M. A.; Sleem, Mohamed A. E. - In: Cogent economics & finance 10 (2022) 1, pp. 1-30

, and kurtosis). With respect to the equity-gold nexus, we find that stock (gold) returns and volatility negatively …

Persistent link: https://www.econbiz.de/10013447921

What Drives Cryptocurrency Returns? A Sparse Statistical Jump Model Approach

Cortese, Federico P.; Kolm, Petter N.; Lindstrom, Erik - 2023

We apply the statistical sparse jump model, a recently developed, interpretable and robust regime switching model, to infer key features that drive the return dynamics of the largest cryptocurrencies. The algorithm jointly performs feature selection, parameter estimation, and state...

Persistent link: https://www.econbiz.de/10014254840