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Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets

Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243

Persistent link: https://www.econbiz.de/10014232428

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Stock market price indices modelling by a small scale Bayesian VAR : the case of British FTSE and German DAX index

Bikár, Miloš; Hodula, Martin - In: Ekonomický časopis : časopis pre ekonomickú … 64 (2016) 8, pp. 737-750

Persistent link: https://www.econbiz.de/10011582851

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 … data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …

Persistent link: https://www.econbiz.de/10010407524