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Herding behaviour theory and oil price dispersion : a sectoral analysis of the Gulf Cooperation Council stock market

Medhioub, Imed; Chaffai, Mustapha - In: The journal of asset management : a major new, … 22 (2021) 1, pp. 43-50

Persistent link: https://www.econbiz.de/10012487593

Volatility transmission across financial markets : a semiparametric analysis

Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13

foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one …. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a … small minority of different cases. Investigating further we find that all volatility series show persistence breaks during …

Persistent link: https://www.econbiz.de/10012322368

Volatility and asymmetric dependence in Central and East European stock markets

Joseph, Nathan Lael; Vo, Thi Thuy Anh; Mobarek, Asma; … - In: Review of quantitative finance and accounting 55 (2020) 4, pp. 1241-1303

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Stock market integration between the UK and the US : evidence over eight decades

Aladesanmi, Olalekan; Casalin, Fabrizio; Metcalf, Hugh - In: Global finance journal 41 (2019), pp. 32-43

Persistent link: https://www.econbiz.de/10012257057

The time-varying causality between spot and futures crude oil prices : a regime switching approach

Balcilar, Mehmet; Gungor, Hasan; Hammoudeh, Shawkat - In: International review of economics & finance : IREF 40 (2015), pp. 51-71

Persistent link: https://www.econbiz.de/10011571896

Long-run comovements in East Asian stock market volatility

Truchis, Gilles de; Keddad, Benjamin - In: Open economies review 27 (2016) 5, pp. 969-986

Persistent link: https://www.econbiz.de/10011717069

Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH

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Empirical analysis of dynamic linkages between China and international stock markets

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Information linkages among emerging equity markets : an empirical study

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Persistent link: https://www.econbiz.de/10011703060

On the risk comovements between the crude oil market and U.S. dollar exchange rates

Truchis, Gilles de; Keddad, Benjamin - In: Economic modelling 52 (2016), pp. 206-215

Persistent link: https://www.econbiz.de/10011645629