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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 - In: Journal of applied economics 26 (2023) 1, pp. 1-24

index spillovers the volatility of the FTSE 100 index. The study revealed a leverage effect for the day-wise return of the S …

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

Dynamic spillover effects of macroeconomic risks on foreign exchange markets in emerging countries

Güngör, Arifenur; Güngör, Mahmut Sami - In: The empirical economics letters : a monthly … 19 (2020) 7, pp. 683-692

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Assessing the intensity of US-Latin American market comovements and contagion effects in times of crisis

Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 130-147

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Returns, volatilities, and correlations across mature, regional, and frontier markets : evidence from South Asia

Amin, Abu S.; Orłowski, Lucjan T. - In: Emerging markets finance & trade : a journal of the … 50 (2014) 3, pp. 5-27

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Financial integration, inclusion and stability during crises : insights from the MENA region

Abdelmageed, Samar - 2021

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A three-tiered nested analytical approach to financial integration : the case of emerging and frontier equity markets

Cagliesi, Gabriella; Guidi, Francesco - In: International review of financial analysis 74 (2021), pp. 1-29

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Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649

Volatility transmission between US and Latin American stock markets : testing the decoupling hypothesis

Cardona, Laura; Gutiérrez, Marcela; Agudelo, Diego A. - In: Research in international business and finance 39 (2017), pp. 115-127

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Evidence on time-varying inflation synchronization

Szafranek, Karol - In: Economic modelling 94 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012694692

Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat

Sadorsky, Perry A. - In: Energy economics 43 (2014), pp. 72-81

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