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Who poisons the pool? : time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets

Ngene, Geoffrey M.; Lee Kim, Yea; Wang, Jinghua - In: Economic modelling 81 (2019), pp. 136-147

Persistent link: https://www.econbiz.de/10012201529

Oil and sovereign credit risk : asymmetric nonlinear dynamic interactions

Ngene, Geoffrey; Wang, Jinghua; Hassan, M. Kabir; … - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 7, pp. 2006-2022

Persistent link: https://www.econbiz.de/10012549863

A study of the machine learning approach and the MGARCH-BEKK model in volatility transmission

Joshi, Prashant; Wang, Jinghua; Busler, Michael - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-9

This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We...

Persistent link: https://www.econbiz.de/10013163552

What drives dynamic connectedness of the US equity sectors during different business cycles?

Ngene, Geoffrey M. - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013186555

Stock returns, trading volume, and volatility : the case of African stock markets

Ngene, Geoffrey M.; Mungai, Ann Nduati - In: International review of financial analysis 82 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013426476