Search Results - subject:"Volatility spill-over"

Is bitcoin a safe haven for Indian investors? A GARCH volatility analysis

Murty, Sarika; Victor, Vijay; Fekete-Farkas, Maria - In: Journal of Risk and Financial Management 15 (2022) 7, pp. 1-13

This paper attempts to understand the dynamic interrelationships and financial asset capabilities of Bitcoin by analysing several aspects of its volatility vis-a-vis other asset classes. This study aims to analyse the volatility dynamics of the returns of Bitcoin. An asymmetric GARCH model...

Persistent link: https://www.econbiz.de/10014332518

Is bitcoin a safe haven for Indian investors? : a GARCH volatility analysis

Murty, Sarika; Victor, Vijay; Fekete-Farkas, Maria - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-13

Persistent link: https://www.econbiz.de/10013370988

Return volatility transmission among Asian stock exchanges : evidence from a heterogeneous market outlook

Mishra, Amritkant; Sakuja, Vaishnavi - In: Risk and decision analysis 9 (2023) 2/4, pp. 73-85

Persistent link: https://www.econbiz.de/10014473419

Dynamics of return and volatility spill-over between developed, emerging and African equity markets during the Covid-19 pandemic and Russia-Ukraine war

Anyikwa, Izunna; Phiri, Andrew - In: Journal for studies in economics and econometrics : SEE 47 (2023) 2, pp. 144-168

Persistent link: https://www.econbiz.de/10014319326

Price discovery and volatility transmission in the spot and futures market of pepper : an empirical analysis

Nadig, Asha; Viswanathan, T. - In: International journal of intelligent enterprise 9 (2022) 1, pp. 78-99

Persistent link: https://www.econbiz.de/10012799917

Trade policy change and price volatility spill-over in a customs union : a case study of lamb trade between Namibia and South Africa

Sarker, Rakhal; Oyewumi, Olubukola Ayodeji - In: International journal of food and agricultural … 3 (2015) 1, pp. 63-76

Persistent link: https://www.econbiz.de/10011290964

A co-integration analysis of the interdependencies between crude oil and distillate fuel prices

Aduda, Jane; Weke, Patrick; Ngare, Philip - In: Journal of mathematical finance 8 (2018) 2, pp. 478-496

Persistent link: https://www.econbiz.de/10011875349

Volatility spillovers and connectedness among credit default swap sector indexes

Fonseca, José da; Ignatieva, Ekaterina - In: Applied economics 50 (2018) 36, pp. 3923-3936

Persistent link: https://www.econbiz.de/10012060164

Contagion effects and volatility impulse responses between US and Asian stock markets

Kang, Sang Hoon; Ko, Hee-un; Yoon, Seong-min - In: Korea and the world economy 18 (2017) 2, pp. 111-130

Persistent link: https://www.econbiz.de/10011736792

Price limits and volatility

Deb, Saikat Sovan; Kalev, Petko S.; Marisetty, Vijaya … - In: Pacific-Basin finance journal 45 (2017), pp. 142-156

Persistent link: https://www.econbiz.de/10011800860