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Volatility dynamics of Tunisian stock market before and during COVID-19 outbreak and diversification benefits of Bitcoin
Ben Salem, Marwa; Fakhfekh, Mohamed; Jeribi, Ahmed - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 5, pp. 651-672
Persistent link: https://www.econbiz.de/10014391407
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Non-linear volatility and dynamics of the Tunisian stock market
Lamia, Kalai; Faouzi, Jilani - In: International journal of economics, finance and … 2 (2014) 1, pp. 22-32
Persistent link: https://www.econbiz.de/10010382144
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Long memory properties on Tunisian sectorial stock market index volatilities : evidence from FIEGARCH model
Fakhfekh, Mohamed; Jeribi, Ahmed; Hachicha, Nejib - In: International journal of sustainable economy 7 (2015) 4, pp. 280-305
Persistent link: https://www.econbiz.de/10011546085
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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …
Persistent link: https://www.econbiz.de/10014295230
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Asymmetric volatility spillover among Chinese sectors during COVID-19
Shahzad, Syed Jawad Hussain; Naeem, Muhammad Abubakr; … - In: International review of financial analysis 75 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012803980
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Decomposed oil price shocks and GCC stock market sector returns and volatility
Al-Fayoumi, Nedal; Bouri, Elie; Abuzayed, Bana - In: Energy economics 126 (2023), pp. 1-33
Persistent link: https://www.econbiz.de/10014483404
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COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April … 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest … GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares …
Persistent link: https://www.econbiz.de/10012626337
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The Tunisian stock market index volatility : long memory vs. switching regime
Charfeddine, Lanouar; Ajmi, Ahdi Noomen - In: Emerging markets review 16 (2013), pp. 145-169
Persistent link: https://www.econbiz.de/10010243139
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Tunisian revolution and stock market volatility : evidence from FIEGARCH model
Jeribi, Ahmed; Fakhfekh, Mohamed; Jarboui, Anis - In: Managerial finance 41 (2015) 10, pp. 1112-1135
Persistent link: https://www.econbiz.de/10011453669
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Duration dependence and mean reversion : an attempt of identification in Tunisian stock market
Bejaoui, Azza; Karaa, Adel; Mahat, Emna - In: The journal of applied business research 31 (2015) 1, pp. 185-196
Persistent link: https://www.econbiz.de/10010502645