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Does the volatility spillover effect matter in oil price volatility predictability? : evidence from high-frequency data

Wu, Lan; Xu, Weiju; Huang, Dengshi; Li, Pan - In: International review of economics & finance : IREF 82 (2022), pp. 299-306

Persistent link: https://www.econbiz.de/10013543121

Stock market spillovers of global risks and hedging opportunities

Salachas, Evangelos; Kouretas, Georgios P.; Laopodis, … - In: European journal of political economy 83 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014547146

Correlations between oil and stock markets : a wavelet-based approach

Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227

Persistent link: https://www.econbiz.de/10011440530

Volatility integration of global stock markets with the Malaysian stock market : a multivariate GARCH approach

Qian, Peh Ying; Diaz, John Francis - In: Malaysian journal of economic studies 54 (2017) 1, pp. 83-117

Persistent link: https://www.econbiz.de/10011825756

Volatility linkage across global equity markets

Ding, Liang; Huang, Yirong; Pu, Xiaoling - In: Global finance journal 25 (2014) 2, pp. 71-89

Persistent link: https://www.econbiz.de/10010400986

Correlation regimes in international equity and bond returns

Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410

Persistent link: https://www.econbiz.de/10012793476

The equity market returns and volatility spillover from the US and Japanese markets to Asian frontier markets

Thi Ngan Nguyen; Phan Thi Kieu Hoa; Parikh, Nirav - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 4, pp. 491-508

Persistent link: https://www.econbiz.de/10013350713

Forecasting international stock market variances

Bekaert, Geert; Xu, Nancy; Ye, Tiange - 2024

Persistent link: https://www.econbiz.de/10014536734

International sentiment spillovers in equity returns

Bathia, Deven; Bredin, Donal; Nitzsche, Dirk - In: International journal of finance & economics : IJFE 21 (2016) 4, pp. 332-359

Persistent link: https://www.econbiz.de/10011698788

Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021

The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...

Persistent link: https://www.econbiz.de/10012604174