Search Results - subject:"causality in variance"

Islamic and conventional equity markets : Two sides of the same coin, or not?

Ahmed, Walid M. A. - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 191-205

Persistent link: https://www.econbiz.de/10012176223

Distributional predictability between commodity spot and futures : evidence from nonparametric causality-in-quantiles tests

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Hammoudeh, … - In: Energy economics 78 (2019), pp. 615-628

Persistent link: https://www.econbiz.de/10012160046

The causal linkages between sovereign CDS prices for the BRICS and major European economies

Stolbov, Mikhail - 2014

(CCF) approach used in the research distinguishes between causality-in-mean and causality-in-variance. In both causality …

Persistent link: https://www.econbiz.de/10010332838

The causal linkages between sovereign CDS prices for the BRICS and major European economies

Stolbov, Mikhail - Institut für Weltwirtschaft (IfW) - 2014

(CCF) approach used in the research distinguishes between causality-in-mean and causality-in-variance. In both causality …

Persistent link: https://www.econbiz.de/10010956154

The causal linkages between sovereign CDS prices for the BRICS and major European economies

Stolbov, Michail I. - 2014

(CCF) approach used in the research distinguishes between causality-in-mean and causality-in-variance. In both causality …

Persistent link: https://www.econbiz.de/10010247460

Exchange rate uncertainty and international portfolio flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10010312834