This paper investigates the co-movements of oil prices and the exchange rates of 10 top oil-importing and oil-exporting countries. Firstly, we estimated the total static spillover index based on vector autoregressive (VAR) models. Secondly, we adopted the recent DCC-GARCH-CONNECTEDNESS approach...

Cryptocurrencies have become a popular investment option and the Ethereum has become a mainstream cryptocurrency because of the additional functionality that can be accomplished with the backing of the powerful Ethereum network compared to Bitcoin. The high volatility of Ethereum offers both...

This article evaluates the asymmetric impact of exchange rate volatility on the exports of nine ECOWAS countries to the Eurozone. By comparing Autoregressive Distributed Lag (ARDL) and Nonlinear ARDL (NARDL) models, the study concludes that the effect of volatility on ECOWAS-Eurozone exports...

This paper considers the impact of global risk aversion and domestic macroeconomic factors on the dynamic conditional correlations between the South African stock, bond, and foreign exchange markets. Our first stage findings using the DCC-GARCH model show that correlations between the selected...

The aim of this paper is to assess whether the availability of high-frequency data enhances the accuracy of extreme market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES). The sample data used for analysis comprised the daily closing...

This paper develops and implements an Autoregressive Integrated Moving Average model with an Adaptive Neuro-Fuzzy Inference System (ARIMA-ANFIS) for BTCUSD price prediction and risk assessment. The goal of these forecasts is to identify patterns from past data and achieve an understanding of the...