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Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era : New evidence from the VARX-DCC-MEGARCH model

Liu, Xiaoxing; Shehzad, Khurram - 2023

This investigation utilized the VARX-DCC-MEGARCH model assimilated with skewed-t density to analyze the time-different (i.e., daytime, overnight, and daily) connectedness among S&P 500, DAX 30, FTSE-100, Nikkei 225, and Shanghai Composite Index. This investigation discovered that the current...

Persistent link: https://www.econbiz.de/10014516096

The implication of cryptocurrency volatility on five largest African fnancial system stability

Joseph, Tonuchi E.; Jahanger, Atif; Owne, Joshua Chukwuma; … - In: Financial innovation : FIN 10 (2024), pp. 1-19

This study examined the interconnectedness and volatility correlation between crypto‑ currency and traditional fnancial markets in the fve largest African countries, address‑ ing concerns about potential spillover efects, especially the high volatility and lack of regulation in the...

Persistent link: https://www.econbiz.de/10014532465

Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme

Shi, Guangping; Liu, Xiaoxing; Tang, Pan - In: Finance research letters 16 (2016), pp. 220-229

Persistent link: https://www.econbiz.de/10011656186

The effect of the US dollar exchange rate on oil prices : an oil financialization perspective

Wang, Panpan; Liu, Xiaoxing; Ho, Tsungwu; Li, Yishi - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 1301-1317

Persistent link: https://www.econbiz.de/10014532662

Stock price fluctuation and the business cycle in the BRICS countries : a nonparametric quantiles causality approach

Shi, Guangping; Liu, Xiaoxing - In: Finance research letters 33 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430957

Does the international oil market interact with China's financial market? : new evidence from time-varying higher moments

Zhou, Donghai; Liu, Xiaoxing; Tang, Chun - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-30

Persistent link: https://www.econbiz.de/10015132996

A study of financial market resilience in China : from a hot money shock perspective

Tang, Chun; Liu, Xiaoxing; Yang, Guangyi - In: Pacific-Basin finance journal 83 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014491141

Measuring the international influence of the RMB and its regional heterogeneity : theory and evidence from the global FX market network

Wang, Panpan; Liu, Xiaoxing; Wu, Sixu; Ho, Tsungwu; … - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 11, pp. 2389-2403

Persistent link: https://www.econbiz.de/10015049733

Decomposing risk spillover effect in international stock market : a novel intertemporal network topology approach

Zhang, Xu; Lv, Zhiyu; Naeem, Muhammad Abubakr; Rauf, Abdul - In: Finance research letters 63 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014531573

Gjr-Garch Midas Model Based Analyse Geopolitical Risk and Energy Price Volatility

Zhang, Chenyao; Liu, Xiaoxing; Li, Xuemei; Tang, Chun - 2023

This article empirically investigates the impact of GPR (geopolitical risk) and its subdivided indices on the volatility of energy prices and whether they have predictive power for the volatility of energy futures prices. The single factor, double factor GJR-GARCH-MIDAS models, are applied for...

Persistent link: https://www.econbiz.de/10014263309