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Volatility of stock market indices : an analysis based on SEMIFAR models
Beran, Jan; Ocker, Dirk - 1999
By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices …. Our analysis yields strong evidence of 'long memory' in stock market volatility, either in terms of stochastic long …
Persistent link: https://www.econbiz.de/10011543477
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Are the crude oil markets really becoming more efficient over time? : some new evidence
Kristoufek, Ladislav - 2018
test for time-varying long-range dependence in prices and volatility" published in Energy Economics 29, pp. 28-36. The … 2015 when the Hurst exponent started another rally and stayed rather high until the end of the examined sample. Comparing …
Persistent link: https://www.econbiz.de/10011809394
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Testing the oil price efficiency using various measures of long-range dependence
Tiwari, Aviral Kumar; Kumar, Satish; Pathak, Rajesh; … - In: Energy economics 84 (2019), pp. 1-10
Persistent link: https://www.econbiz.de/10012183291
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Are the crude oil markets really becoming more efficient over time? : Some new evidence
Krištoufek, Ladislav - In: Energy economics 82 (2019), pp. 253-263
Persistent link: https://www.econbiz.de/10012173935
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Exploring volatility of crude oil intraday return curves : a functional GARCH-X model
Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: Journal of commodity markets 32 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014495589
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Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
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Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression
Živkov, Dejan; Manić, Slavica; Kovačević, Jelena; … - In: Portuguese economic journal 21 (2022) 1, pp. 67-93
Persistent link: https://www.econbiz.de/10012819575
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Oil-stock nexus in an oil-rich country : does geopolitical risk matter in terms of investment horizons?
Aloui, Chaker; Ben Hamida, Hela - In: Defence and peace economics 32 (2021) 4, pp. 468-488
Persistent link: https://www.econbiz.de/10012607758
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Contagion among select global equity markets : a time-frequency analysis
Bhandari, Avishek; Kamaiah, Bandi - In: Global economy journal : GEJ 19 (2019) 4, pp. 1950023-1-29
Persistent link: https://www.econbiz.de/10012214476