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How does uncertainty affect volatility correlation between financial assets? : evidence from bitcoin, stock and gold

Li, Zheng-Zheng; Su, Chi-Wei; Zhu, Meng Nan - In: Emerging markets, finance and trade : EMFT 58 (2022) 9, pp. 2682-2694

Persistent link: https://www.econbiz.de/10013354990

Time-frequency analysis of financial stress and global commodities prices : insights from wavelet-based approaches

Armah, Mohammed; Amewu, Godfred; Bossman, Ahmed - In: Cogent economics & finance 10 (2022) 1, pp. 1-25

We examine the time-frequency lead-lag relationships and the degree of integration between the US financial stress index and global commodity prices (i.e., oil, gold, silver, and cocoa) with data covering over 47 decades (January 1975 to December 2021). For this purpose, we resort to the bi- and...

Persistent link: https://www.econbiz.de/10013389437

The transmission of international stock market volatilities

Budd, Bruce Q. - In: Journal of economics and finance 42 (2018) 1, pp. 155-173

Persistent link: https://www.econbiz.de/10011978148

What impacts the structural breaks in volatility transmission from crude oil to agricultural commodities?

Kumar, Dilip - In: Journal of economic research 24 (2019) 1, pp. 91-127

Persistent link: https://www.econbiz.de/10012027966

Extreme dependence between crude oil and stock markets in Asia-Pacific regions : evidence from quantile regression

Zhu, Huiming; Huang, Hui; Peng, Cheng; Yang, Yan - 2016

market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors …

Persistent link: https://www.econbiz.de/10011561029

Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate

Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390

Persistent link: https://www.econbiz.de/10011556212

The relationship between spot and futures oil prices : do structural breaks matter?

Chen, Pei-fen; Lee, Chien-chiang; Zeng, Jhih-hong - In: Energy economics 43 (2014), pp. 206-217

Persistent link: https://www.econbiz.de/10010504823

Realized volatility transmission from crude oil to equity sectors : a study with economic significance analysis

Kumar, Dilip - In: International review of economics & finance : IREF 49 (2017), pp. 149-167

Persistent link: https://www.econbiz.de/10011748390

Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate

Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390

volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods … by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be …-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the …

Persistent link: https://www.econbiz.de/10011765010

Interaction between oil and US dollar exchange rate : nonlinear causality, time-varying influence and structural breaks in volatility

Wen, Fenghua; Xiao, Jihong; Huang, Chuangxia; Xia, Xiaohua - In: Applied economics 50 (2018) 3, pp. 319-334

Persistent link: https://www.econbiz.de/10011846847