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Time-varying partial-directed coherence approach to forecast global energy prices with stochastic volatility model

Dhifaoui, Zouhaier; Jabeur, Sami Ben; Khalfaoui, Rabeh; … - In: Journal of forecasting 42 (2023) 8, pp. 2292-2306

Persistent link: https://www.econbiz.de/10014432894

Quantile-based spillover connectedness among stochastic volatilities of ESG equities, Islamic and conventional stocks with implications for portfolio management

Asl, Mahdi Ghaemi; Khalfaoui, Rabeh; Tavakkoli, Hamid Reza - 2024

Persistent link: https://www.econbiz.de/10015394633

Could the Russia-Ukraine war stir up the persistent memory of interconnectivity among Islamic equity markets, energy commodities, and environmental factors?

Asl, Mahdi Ghaemi; Jabeur, Sami Ben - In: Research in international business and finance 69 (2024), pp. 1-28

Persistent link: https://www.econbiz.de/10015052455

Quantile-based spillover connectedness among stochastic volatilities of ESG equities, Islamic and conventional stocks with implications for portfolio management

Asl, Mahdi Ghaemi; Khalfaoui, Rabeh; Tavakkoli, Hamid Reza - In: International Journal of Emerging Markets 19 (2023) 11, pp. 3938-3976

Purpose This study aims to investigate the relationship between stock markets, environmental, social and governance (ESG) factors and Shariah-compliant in an integrated framework. Design/methodology/approach The authors employ the multivariate factor stochastic volatility (mvFSV) framework to...

Persistent link: https://www.econbiz.de/10015346470

Volatility connectedness between geopolitical risk and financial markets : insights from pandemic and military crisis periods

Banerjee, Ameet Kumar; Sensoy, Ahmet; Goodell, John W. - In: International review of economics & finance : IREF 96 (2024) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10015323727

Traditional assets, digital assets and renewable energy : investigating connectedness during COVID-19 and the Russia-Ukraine war

Goodell, John W.; Yadav, Miklesh Prasad; Ruan, Junhu; … - In: Finance research letters 58 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014582163

Co-movements and spillovers of oil and renewable firms under extreme conditions : new evidence from negative WTI prices during COVID-19

Corbet, Shaen; Goodell, John W.; Günay, Samet - In: Energy economics 92 (2020), pp. 1-24

Persistent link: https://www.econbiz.de/10012520119

Does happiness forecast implied volatility? : evidence from nonparametric wave-based Granger causality testing

Li, Yue; Goodell, John W.; Shen, Dehua - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 113-122

Persistent link: https://www.econbiz.de/10012656244

Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital

Cevik, Emrah Ismail; Kenç, Turalay; Goodell, John W.; … - In: International review of economics & finance : IREF 97 (2025), pp. 1-23

Persistent link: https://www.econbiz.de/10015327028

Return volatility and trading volume of GameFi

Shi, Guiqiang; Goodell, John W.; Shen, Dehua - In: Journal of behavioral and experimental finance 43 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015076707