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Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine

Wang, Yihan; Bouri, Elie; Fareed, Zeeshan; Dai, Yuhui - In: Finance research letters 49 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013478638

Oil price volatility and stock returns : evidence from three oil-price wars

Khan, Mushtaq Hussain; Ahmed, Junaid; Mughal, Mazhar; … - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3162-3182

Persistent link: https://www.econbiz.de/10014327724

High inflation during Russia-Ukraine war and financial market interaction : evidence from C-Vine Copula and SETAR models

Hamza, Taher; Ben Haj Hamida, Hayet; Mili, Mehdi; Sami, Mina - In: Research in international business and finance 70 (2024) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10015056940

Crude oil price movements and stock trading activity : evidence from Indonesia

Darmawan, Indra; Hakim, Dedi Budiman; Manurung, Adler Hayman - In: Economia internazionale 74 (2021) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10012620828

Is US trade policy uncertainty powerful enough to predict global output volatility?

Olasehinde-Williams, Godwin - In: Journal of international trade & economic development : … 30 (2021) 1, pp. 138-154

Persistent link: https://www.econbiz.de/10012424801

How strong do global commodity prices influence domestic food prices in developing countries? : a global price transmission and vulnerability mapping analysis

Kalkuhl, Matthias - 2014

This paper analyzes the transmission from global commodity to domestic food prices for a large set of countries. First, a theoretical model is developed to explain price transmission for different trade regimes. Drawing from the competitive storage model under rational expectations, it is shown...

Persistent link: https://www.econbiz.de/10010353578

Volatility modeling and dependence structure of ESG and conventional investments

Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25

financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of …, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …

Persistent link: https://www.econbiz.de/10012805838

Discerning trends in international metal prices in the presence of non-stationary volatility

Addison, Tony; Ghoshray, Atanu - 2020

volatility of primary commodity prices-metals are no exception. Recent events have led experts to believe that trends have been …

Persistent link: https://www.econbiz.de/10012265553

Volatility integration of crude oil, gold, and interest rates on the exchange rate : DCC GARCH and BEKK GARCH applications

Rastogi, Shailesh; Kanoujiya, Jagjeevan; Doifode, Adesh - In: Cogent business & management 11 (2024) 1, pp. 1-17

conditional volatility association of gold, crude oil and yield (or IR) on the ER (the price of US$ in Indian rupee). The daily … theories of market connectivity. The results are as expected (from the previous literature) for conditional volatility, whereas … findings regarding volatility spillover effects (VSE) and are surprising. The findings of the study imply the separation of …

Persistent link: https://www.econbiz.de/10014543455

Average skewness in global equity markets

Atilgan, Yigit; Demirtas, K. Ozgur; Günaydin, A. Doruk; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 245-271

Persistent link: https://www.econbiz.de/10014326300