Search Results - subject:"Conditional Heteroskedasticity"

Value at risk and expected shortfall estimation for Mexico's isthmus crude oil using long-memory GARCH-EVT combined approaches

Jesús Gutiérrez, Raúl <de>; Gutiérrez, Lidia E. Carvajal - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 4, pp. 467-480

Persistent link: https://www.econbiz.de/10014373513

Dynamic modeling and analysis of some energy companies of Indonesia over the year 2018 to 2022 by using VAR(p)-CCC GARCH(r,s) model

Mustofa Usman; Komarudin, M.; Nurhanurawati; Russel, Edwin - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 4, pp. 542-554

Persistent link: https://www.econbiz.de/10014373695

The volatility assessment of CO2 emissions in Uzbekistan : ARCH/GARCH models

Kuziboev, Bekhzod; Vysušilová, Petra; Salahodjaev, Raufhon - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 5, pp. 1-7

Persistent link: https://www.econbiz.de/10014374840

Asymmetry in higher moment spillovers : evidence from sustainable and traditional investments

He, Xie; Hamori, Shigeyuki - 2023

Persistent link: https://www.econbiz.de/10014364732

Comparing risk profiles of international stock markets as functional data : COVID-19 versus the global financial crisis

Shackleton, Ryan; Das, Sonali; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014364821

Exploring the time-varying connectedness and contagion effects among exchange rates of BRICS, energy commodities, and volatilities

Qabhobho, Thobekile; Adam, Anokye M.; Idun, Anthony Adu … - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 2, pp. 272-283

Persistent link: https://www.econbiz.de/10014365714

Modelling stock market volatility during the COVID-19 pandemic : evidence from BRICS countries

Banumathy, Karunanithy - In: Managing global transitions : international research journal 21 (2023) 3, pp. 253-268

Persistent link: https://www.econbiz.de/10015188996

Chinese stock market volatility and herding behavior asymmetry during the COVID-19 pandemic

Fei, Fan; Zhang, Jianing - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

The primary purpose of this paper is to explore the herding behavior in the Chinese stock market during COVID-19 and the asymmetry of that behavior using the daily returns of A- and B-shares from 2 January 2019, to 15 October 2021. The study uses the cross-sectional absolute deviation model to...

Persistent link: https://www.econbiz.de/10014500780

An investigation of financial contagion between cryptocurrency and equity markets : evidence from developed and emerging markets

Niyitegeka, Olivier; Zhou, Sheunesu - In: Cogent economics & finance 11 (2023) 1, pp. 1-21

The present study conducts a dynamic conditional cross-correlation and time-frequency correlation analyses between cryptocurrency and equity markets in both advanced and emerging economies. The purpose of the study is twofold. First, the study investigates the presence of the pure (narrow) form...

Persistent link: https://www.econbiz.de/10014500791

Day-of-the-week effect : petroleum and petroleum products

Meek, Andrew C.; Hoelscher, Seth A. - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...

Persistent link: https://www.econbiz.de/10014500847