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Exchange rate and oil price interactions in selected CEE countries

Drachal, Krzysztof - In: Economies : open access journal 6 (2018) 2, pp. 1-21

This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according...

Persistent link: https://www.econbiz.de/10011854772

On Univariate and Multivariate GARCH Models : Oil Price and Stock Market Returns Volatilities

Guerouah, Amine - 2016

This paper investigates the empirical properties of oil price and Stock market return volatilities using a range of univariate and multivariate GARCH models and monthly data from the U.S. The study relates the period August 1987 to October 2016, a total of 351 observations given. The aim of this...

Persistent link: https://www.econbiz.de/10012977192

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

Persistent link: https://www.econbiz.de/10011964941

Modelling high-frequency volatility and liquidity using multiplicative error models

Hautsch, Nikolaus (contributor); … - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading … ; volatility ; liquidity ; high-frequency data …

Persistent link: https://www.econbiz.de/10003727673

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

Persistent link: https://www.econbiz.de/10013272684

Time-Frequency Linkages and Co-Movements between the Euro and European Stock Market : A Continuous Wavelet Analysis

Paraskevopoulos, Timotheos - 2018

We investigate the evolution of co-movement and lead-lag relationships between the nominal effective European exchange rate and the largest European stock markets in the time and frequency dimension. We decompose the financial return series into different time scales and apply the cross-wavelet...

Persistent link: https://www.econbiz.de/10012933848

Oil prices and stock market returns among emerging seven economies : empirical evidence from the recent decade

Dar, Mearaj Ud Din; Butt, Khursheed Ahmad - In: International journal of business competition and … 8 (2022) 1/2, pp. 112-127

Persistent link: https://www.econbiz.de/10014234385

The causal nexus between oil prices and equity market in the US : a regime switching model

Balcilar, Mehmet; Ozdemir, Zeynel Abidin - In: Energy economics 39 (2013), pp. 271-282

Persistent link: https://www.econbiz.de/10010234879

Will the oil price change damage the stock market in a bull market? : a re-examination of their conditional relationships

Liao, Shu-Yi; Chen, Sheng-tung; Huang, Mao-Lung - In: Empirical economics : a journal of the Institute for … 50 (2016) 3, pp. 1135-1169

Persistent link: https://www.econbiz.de/10011481444

From oil to stock markets

Guesmi, Khaled; Boubaker, Heni; Lai, Van Son - In: Journal of economic integration 31 (2016) 1, pp. 103-133

Persistent link: https://www.econbiz.de/10011451684