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Tracing the sources of contagion in the oil-finance nexus

Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - In: Applications in Energy Finance : The Energy Sector, …, (pp. 115-143). 2022

Persistent link: https://www.econbiz.de/10013282728

Contagion effects on stock and FX markets : a DCC analysis among USA and EMU

Dimitriou, Dimitrios I.; Simos, Theodore M. - In: Studies in economics and finance 31 (2014) 3, pp. 246-254

Persistent link: https://www.econbiz.de/10011338922

Exchange rates, bond yields and the stock market : nonlinear evidence of Indonesia during the COVID-19 period

Prananta, Billy; Alexiou, Constantinos - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 83-99

Purpose - The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic. Design/methodology/approach - The authors employ a non-linear autoregressive...

Persistent link: https://www.econbiz.de/10014497076

Implizite Volatilitäten am Aktien- und Optionsmarkt

Dartsch, Andreas - 1999

Persistent link: https://www.econbiz.de/10001364354

Stock market volatility: Identifying major drivers and the nature of their impact

Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin - In: Journal of banking & finance 58 (2015), pp. 1-14

Persistent link: https://www.econbiz.de/10011543844

Modelling financial markets comovements during crises : a dynamic multi-factor approach

Belvisi, Martin; Pianeti, Riccardo; Urga, Giovanni - In: Dynamic factor models, (pp. 317-360). 2016

Persistent link: https://www.econbiz.de/10011448671

Modeling financial market volatility in transition markets : a multivariate case

Oikonomikou, Leoni Eleni - 2016 - Revised version including comments: February 2015

EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the …-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …

Persistent link: https://www.econbiz.de/10011454085

Modeling financial market volatility in transition markets : a multivariate case

Oikonomikou, Leoni Eleni - In: Research in international business and finance 45 (2018), pp. 307-322

Persistent link: https://www.econbiz.de/10011983276

Asymmetric volatility in equity markets around the world

Horpestad, Jone B.; Lyócsa, Štefan; Molnár, Peter; … - In: The North American journal of economics and finance : a … 48 (2019), pp. 540-554

Persistent link: https://www.econbiz.de/10012120304

Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis

Kim, Hyun Seok; Min, Hong-ghi; McDonald, Judith Ann - In: Economic modelling 59 (2016), pp. 9-22

Persistent link: https://www.econbiz.de/10011647590