Uncertainty about an economy’s regime can change drastically around a crisis. An imported crisis such as the global financial crisis in the euro area highlights the effect of foreign shocks. Estimating an open-economy nonlinear dynamic stochastic general equilibrium model for the euro area and...

- In this analysis; we study the four major cryptocurrency returns that are Bitcoin, Ethereum, XRP, and Litecoin, where the dynamics of volatility spillover are observed for a span of 7 years – 2013 to 2020; wherein the total number of sample observations collected and analyzed were 10,953 (Data...

We show empirically that negative stock market returns are significantly more painful to investors when they occur in periods of low volatility, which is reflected in a steeper pricing kernel. In contrast, popular asset pricing theories imply that the pricing of stock market risk does not vary...

Objective of this paper is to empirically investigate the dynamic connectedness between oil prices and stock returns of clean energy related and technology companies in China and U.S. financial markets. Three different multivariate Generalised Autoregression Conditional Heteroscedasticity...

Purpose - This paper aims to examine the performance of Islamic and conventional stocks listed at the Pakistan Stock Exchange by using both parametric and non-parametric approaches. The motivation is to do risk-return analysis of Islamic stock prices and conventional stock prices....

While market volatility and volatility connectedness across different financial markets have been examined, the spillover effects across sectors have been under-examined. As such, this study aims to examine market volatility and the volatility patterns for 24 Vietnamese sectors. Our study uses...

In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are considered. The models are used to price fully collateralised...

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect...