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Islamic equities and COVID-19 pandemic : measuring Islamic stock indices correlation and volatility in period of crisis

Abdullahi, Shafiu Ibrahim - In: Islamic economic studies 29 (2021) 1, pp. 50-66

generalized method of moments (GMM), autoregressive distributed lag (ARDL) and multivariate GARCH (MGARCH) models for analysis of … subgroups are cointegrated except the low COVID-19 subgroup. Based on MGARCH findings, the possibility of volatility …

Persistent link: https://www.econbiz.de/10012666779

A Model Confidence Set approach to the combination of multivariate volatility forecasts

Amendola, Alessandra; Braione, Manuela; Candila, Vincenzo; … - In: International journal of forecasting 36 (2020) 3, pp. 873-891

Persistent link: https://www.econbiz.de/10012496876

Market interdependence and volatility transmission among major crops

Gardebroek, Cornelis; Hernandez, Manuel A.; Robles, Miguel - In: Agricultural economics : the journal of the … 47 (2016) 2, pp. 141-155

Persistent link: https://www.econbiz.de/10011662000

High frequency volatility co-movements in cryptocurrency markets

Katsiampa, Paraskevi; Corbet, Shaen; Lucey, Brian M. - In: Journal of international financial markets, … 62 (2019), pp. 35-52

Persistent link: https://www.econbiz.de/10012262439

The Relationship between the returns and volatility of stock and oil markets in the last two decades: evidence from Saudi Arabia

Alsharif, Mohammad - In: International journal of economics and financial issues … 10 (2020) 4, pp. 1-6

Persistent link: https://www.econbiz.de/10012299664

The effect of spillover on volatility forecasting : an empirical study in Indian Stock Market

Karmakar, Madhusudan; Shukla, Girja Kant - In: Metamorphosis : a journal of management research 15 (2016) 1, pp. 20-30

Persistent link: https://www.econbiz.de/10011625682

Analyzing hedging strategies for fixed income portfolios : a Bayesian approach for model selection

Bessler, Wolfgang; Leonhardt, Alexander; Wolff, Dominik - In: International review of financial analysis 46 (2016), pp. 239-256

Persistent link: https://www.econbiz.de/10011581819

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

Dynamic linkages between gold and equity prices : evidence from Indian financial services and information technology companies

Dey, Shubhasis; Sampath, Aravind - In: Finance research letters 25 (2018), pp. 41-46

Persistent link: https://www.econbiz.de/10012003426

Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda

Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17

Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC … and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis …. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to …

Persistent link: https://www.econbiz.de/10012021528