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A reality check on the GARCH-MIDAS volatility models

Virk, Nader; Javed, Farrukh; Awartani, Basel - 2021

Persistent link: https://www.econbiz.de/10012604771

Time-varying transmission between oil and equities in the MENA region : new evidence from DCC-MIDAS analyses

Awartani, Basel; Javed, Farrukh; Maghyereh, Aktham I.; … - In: Review of development finance 8 (2018) 2, pp. 116-126

In this paper we use the DCC-MIDAS (Dynamic Conditional Correlation-Mixed Data Sampling) model to infer the association between oil and equities in five MENA countries between February 2006 and April 2017. The model indicates that higher oil returns tends to reduce the long-term risk of the...

Persistent link: https://www.econbiz.de/10011979991

A reality check on the GARCH-MIDAS volatility models

Virk, Nader; Javed, Farrukh; Awartani, Basel; Hyde, Stuart - In: The European journal of finance 30 (2024) 6, pp. 575-596

Persistent link: https://www.econbiz.de/10014547966

European equity market integration and joint relationship of conditional volatility and correlations

Virk, Nader; Javed, Farrukh - In: Journal of international money and finance 71 (2017), pp. 53-77

Persistent link: https://www.econbiz.de/10011787669

Tail risk emanating from troubled European banking sectors

Javed, Farrukh; Sabzevari, Hassan; Virk, Nader - In: Finance research letters 43 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10014632302

Systemic Risk in Gulf Cooperation Council Countries’ Equity Markets and Banking Sectors : A Dynamic Conditional Value-at-Risk Approach

Maghyereh, Aktham Issa; Virk, Nader; Awartani, Basel - 2021

We employ dynamic conditional Value at Risk (CoVaR) technique of Adrian and Brunnermeir (2016) in examining the systemic risk and its spillovers for the Gulf Cooperation Council (GCC) countries during the period of January 2004 to June 2020. To do so, we identify 11 large banks in the region...

Persistent link: https://www.econbiz.de/10013322196