Similar Search Results

Deciphering asymmetric spillovers in US industries : insights from higher-order moments

Muhammad Shafiullah; Senthilkumar, Arunachalam; Lucey, … - In: Research in international business and finance 70 (2024) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10015053386

Asymmetric volatility spillover among Chinese sectors during COVID-19

Shahzad, Syed Jawad Hussain; Naeem, Muhammad Abubakr; … - In: International review of financial analysis 75 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012803980

Oil price risk exposure of BRIC stock markets and hedging effectiveness

Shahzad, Syed Jawad Hussain; Bouri, Elie; Ur Rehman, Mobeen - In: Financial modeling and risk management of energy and …, (pp. 145-170). 2022

Persistent link: https://www.econbiz.de/10013349933

COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs

Naeem, Muhammad Abubakr; Karim, Sitara; Yarovaya, Larisa; … - In: Energy economics 122 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014440746

Financial markets, energy shocks, and extreme volatility spillovers

Boubaker, Sabri; Karim, Sitara; Naeem, Muhammad Abubakr; … - In: Energy economics 126 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014487450

Covid-Induced Sentiment and the Intraday Volatility Spillovers between Energy and Other Etfs

Naeem, Muhammad Abubakr; Lucey, Brian M.; Yarovaya, Larisa - 2022

Did Covid19 indiced market turmoil impact the intraday volatility spillovers between energy and other ETFs?. To examine this , we first estimate the realized volatility of ETFs using the 5-minute high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR)....

Persistent link: https://www.econbiz.de/10014081207

Forecasting FOREX volatility in turbulent times

Mohnot, Rajesh - In: Global journal of business research : GJBR 5 (2011) 1, pp. 27-38

Persistent link: https://www.econbiz.de/10008810502

Spillovers and hedging effectiveness between oil and US equity sectors : evidence from the COVID pre- and post-vaccination phases

Yousaf, Imran; Arfaoui, Nadia; Gubareva, Mariya - In: Research in international business and finance 69 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015052236

Impact of COVID-19 on volatility spillovers across international markets : evidence from VAR asymmetric BEKK GARCH model

Arfaoui, Nadia; Yousaf, Imran - In: Annals of financial economics 17 (2022) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10013189123

Forecasting FOREX Volatility in Turbulent Times

Mohnot, Rajesh - 2011

The present study is an attempt to evaluate the predictability of the foreign exchange volatility in thirteen countries. The data covers the period of 2005-2009. To effectively forecast the volatility in the exchange rates, a GARCH model is used. The study compares the results between crisis...

Persistent link: https://www.econbiz.de/10013123238