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Bidirectional spillover effect between Russian stock index and the selected commodities

Živkov, Dejan; Njegić, Jovan; Momčilović, Mirela - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 36 (2018) 1, pp. 29-53

Persistent link: https://www.econbiz.de/10012212090

Interrelationship between DAX index and four largest Eastern European stock markets

Živkov, Dejan; Njegić, Jovan; Milenković, Ivan - In: Romanian journal of economic forecasting 21 (2018) 3, pp. 88-103

Persistent link: https://www.econbiz.de/10012021813

Multiscale volatility transmission and portfolio construction between the baltic stock markets

Živkov, Dejan; Manić, Slavica; Đurašković, Jasmina - In: Finance a úvěr 69 (2019) 2, pp. 211-235

Persistent link: https://www.econbiz.de/10012137383

Assessing permanent and transitory volatility spillover effect from oil to stocks in Baltic and Visegrad countries

Živkov, Dejan; Gajić-Glamočlija, Marina; … - In: Ekonomický časopis : časopis pre ekonomickú … 70 (2022) 6, pp. 523-543

Persistent link: https://www.econbiz.de/10013539201

Oil hedging with a multivariate semiparametric value-at-risk portfolio

Živkov, Dejan; Manić, Slavica; Đurašković, Jasmina; … - In: Borsa Istanbul Review 22 (2022) 6, pp. 1118-1131

This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) stock indexes and five...

Persistent link: https://www.econbiz.de/10014305873