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Volatility dynamics of precious metals : evidence from Russia
Kirkulak-Uludag, Berna; Lkhamazhapov, Zorikto - In: Finance a úvěr 67 (2017) 3, pp. 300-317
Persistent link: https://www.econbiz.de/10011720731
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Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - 2015
framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the … price series considered. …
Persistent link: https://www.econbiz.de/10010498617
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Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - 2015
framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the … price series considered. …
Persistent link: https://www.econbiz.de/10010501248
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Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - In: International economics : a journal published by CEPII … 150 (2017), pp. 1-18
Persistent link: https://www.econbiz.de/10011793787
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Modelling stock volatilities during financial crises : a time varying coefficient approach
Karanasos, Menelaos; Paraskevopoulos, Alexandros G.; … - In: Journal of empirical finance 29 (2014), pp. 113-128
Persistent link: https://www.econbiz.de/10011300501
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Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate
Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: Energy economics 48 (2015), pp. 46-60
Persistent link: https://www.econbiz.de/10011533698
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Structural breaks in volatility spillovers between international financial markets : contagion or mere interdependence?
Jung, Robert; Maderitsch, Robert - In: Journal of banking & finance 47 (2014), pp. 331-342
Persistent link: https://www.econbiz.de/10010506950
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Volatility spillovers and hedging effectiveness between oil and stock markets : evidence from a wavelet-based and structural breaks analysis
Belhassine, Olfa; Karamti, Chiraz - In: Energy economics 102 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013162440
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Volatility spillover between exchange rate and stock returns under volatility shifts
Malik, Farooq - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 605-613
Persistent link: https://www.econbiz.de/10012655581
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Volatility spillover among sector equity returns under structural breaks
Malik, Farooq - In: Review of quantitative finance and accounting 58 (2022) 3, pp. 1063-1080
Persistent link: https://www.econbiz.de/10013191782