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Jump driven risk model performance in cryptocurrency market

Nekhili, Ramzi; Sultan, Jahangir - In: International Journal of Financial Studies : open … 8 (2020) 2/19, pp. 1-18

This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility … model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting … TGARCH (Threshold GARCH) volatility and RiskMetrics models. The results imply that for the cryptocurrency market, the best …

Persistent link: https://www.econbiz.de/10012239256

Evidence of intraday multifractality in European stock markets during the recent coronavirus (covid-19) outbreak

Aslam, Faheem; Mohti, Wahbeeah; Ferreira, Paulo - In: International Journal of Financial Studies : open … 8 (2020) 2/31, pp. 1-13

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...

Persistent link: https://www.econbiz.de/10012239424

Impacts of climate pact on global oil and gas sector stocks

Kumari, Vineeta; Assaf, Rima; Moussa, Faten; Pandey, … - In: Studies in economics and finance 41 (2024) 3, pp. 596-618

Persistent link: https://www.econbiz.de/10015049832

Do Islamic stock indexes outperform conventional stock indexes? : a state space modeling approach

Ben Rejeb, Aymen; Arfaoui, Mongi - In: European journal of management and business economics : … 28 (2019) 3, pp. 301-322

breakpoints. The authors allow for efficiency and volatility spillovers to be time-varying and consider break dates to locate …/value The originality of this study is performed by the use of time-varying models for volatility spillovers and informational …

Persistent link: https://www.econbiz.de/10012118155

Unravelling the complexity of supply chain volatility management

Nitsche, Benjamin - In: Logistics 2 (2018) 3, pp. 1-26

Managing supply chain volatility (SCV) is often identified as one of the major challenges of modern supply chain …

Persistent link: https://www.econbiz.de/10012122802

The impact of the world food price index on some East-European economies

Saman, Corina; Alexandri, Cecilia - In: Journal of business economics and management 19 (2018) 2, pp. 268-287

, Poland and Romania to global food prices. We employ time-varying VARs with stochastic volatility to estimate the behaviour of … the time variation and nonlinearities of the relationship between variables taking into account food price volatility and …

Persistent link: https://www.econbiz.de/10012174767

Inter-markets volatility spillover in U.S. bitcoin and financial markets

Qarni, Muhammad Owais; Gulzar, Saqib; Fatima, Syeda Tamkeen - In: Journal of business economics and management 20 (2019) 4, pp. 694-714

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the …

Persistent link: https://www.econbiz.de/10012175787

Volatility spillover and dynamic correlation between the carbon market and energy markets

Chen, Yufeng; Qu, Fang; Li, Wenqi; Chen, Minghui - In: Journal of business economics and management 20 (2019) 5, pp. 979-999

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … for multi-phase analysis of EU ETS, yet only a little empirical evidence backing up the existence of volatility spillover …

Persistent link: https://www.econbiz.de/10012175985

Stock market trends and oil prices : evidence from a developing country

Dewi, Anggraini; Somsathid, Phonwattana; Sudawan Somjai; … - In: Contemporary economics 13 (2019) 3, pp. 351-362

volatility. Data were gathered over the 2008-2016 period with annual observations for 30 firms currently listed in Indonesian … volatility were added, they were found to be significantly associated with the first lag of oil prices. These findings provide …

Persistent link: https://www.econbiz.de/10012176731

An analysis of CEE equity market integration and their volatility spillover effects

Ngo Thai Hung - In: European journal of management and business economics : … 29 (2020) 1, pp. 23-40

three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility … spillovers are generally lower than cross-volatility spillovers for all markets. Practical implications These results recommend …

Persistent link: https://www.econbiz.de/10012182589