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Islamic equities and COVID-19 pandemic : measuring Islamic stock indices correlation and volatility in period of crisis

Abdullahi, Shafiu Ibrahim - In: Islamic economic studies 29 (2021) 1, pp. 50-66

generalized method of moments (GMM), autoregressive distributed lag (ARDL) and multivariate GARCH (MGARCH) models for analysis of … subgroups are cointegrated except the low COVID-19 subgroup. Based on MGARCH findings, the possibility of volatility …

Persistent link: https://www.econbiz.de/10012666779

Correlations and volatility spillover from China to Asian and Latin American Countries : identifying diversification and hedging opportunities

Yadav, Miklesh Prasad; Sharma, Sudhi; Aggarwal, Vaibhav; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

Heteroskedasticity (MGARCH) model with BEKK, diagonal, Constant Conditional Correlation (CCC), and finally, Dynamic Conditional …

Persistent link: https://www.econbiz.de/10014500295

Calendar anomalies and market volatility in selected cryptocurrencies

Naz, Farah; Sayyed, Madeeha; Rehman, Ramiz Ur; Naseem, … - In: Cogent business & management 10 (2023) 1, pp. 1-25

This study examines the day-of-the-week and January effects on the top performing cryptocurrencies with the highest capitalization during the sample period. The study uses the daily closing returns of selected currencies for 7 August 2015 to 20 August 2020. The day-of-the-week results indicate...

Persistent link: https://www.econbiz.de/10014466532