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MES vs ∆CoVaR : empirical evidence from Pakistan

Hanif, Hasan; Yousaf, Imran; Waheed, Abdul; ullah, Waseem - In: Cogent business & management 8 (2021) 1, pp. 1-21

The global financial crisis unveiled that inadequate analysis of risk can annihilate the financial system and repercussions can encompass the whole economy. Pakistan is one of the developing economies that has experienced robust growth in the banking sector. This hard earned growth can only be...

Persistent link: https://www.econbiz.de/10012642586

The influence of Bitcoin on portfolio diversification and design

Akhtaruzzaman, Md.; Sensoy, Ahmet; Corbet, Shaen - In: Finance research letters 37 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012484864

Fed and ECB : which is informative in determining the DCC between bitcoin and energy commodities?

Derbali, Abdelkader; Jamel, Lamia; Ltaifa, Monia Ben; … - In: Journal of capital markets studies 4 (2020) 1, pp. 77-102

) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy … of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018. Findings The authors … incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC …

Persistent link: https://www.econbiz.de/10012395339

Measuring the hedging effectiveness of commodities

Chunhachinda, Pornchai; DeBoyrie, Maria Eugenia; … - In: Finance research letters 30 (2019), pp. 201-207

Persistent link: https://www.econbiz.de/10012420488

Is the BRICS decoupling effect reversing? : evidence from dynamic models

Stavroyiannis, Stavros - In: International journal of economics and business research 13 (2017) 3, pp. 303-315

Persistent link: https://www.econbiz.de/10011714517

A multivariate analysis of United States and global real estate investment trusts

Begiazi, Kyriaki; Asteriou, Dimitrios; Pilbeam, Keith - In: International economics and economic policy : IEEP 13 (2016) 3, pp. 467-482

Persistent link: https://www.econbiz.de/10011714591

The linkage between stock and inter-bank bond markets in China : a dynamic conditional correlation (DCC) analysis

Hassanein, Ahmed; Elgohari, Hanaa - In: International journal of economics and business … 20 (2020) 1, pp. 80-99

Persistent link: https://www.econbiz.de/10012271095

Financial markets, energy stock prices and energy political decisions : the case of Cyprus

Dimitras, Augustinos I.; Peppas, George D.; Tsakalos, … - In: International journal of financial engineering and risk … 3 (2020) 3, pp. 240-253

Persistent link: https://www.econbiz.de/10012253516

Dynamic conditional beta

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

Return and volatility interdependences in up and down markets across developed and emerging countries

Kundu, Srikanta; Sarkar, Nityananda - In: Research in international business and finance 36 (2016), pp. 297-311

Persistent link: https://www.econbiz.de/10011594440