market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns … cryptocurrencies returns. This can be attributed to the presence of asymmetric volatility clusters. This study has significant …

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

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

paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power … the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our … results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of volatility to all markets. Our …

Like no other calamitous event in recent memory, the COVID-19 pandemic has plunged the world’s financial system into …, and kurtosis). With respect to the equity-gold nexus, we find that stock (gold) returns and volatility negatively …