Stock Market Volatility Analysis: A Case Study of TUNindex [PDF]
, 2020 Volatility is directly associated with risks and returns. This study aims to examine the volatility characteristics on Tunisian stock market index (5 days a weak TUNindex) that include clustering volatility, leptokurtosis, and leverage effect.
NEIFAR, MALIKA
core +2 more sources
Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies [PDF]
This paper examines the inclusion of the dollar/euro exchange rate together with important commodities in two different BEKK, or multivariate conditional covariance, models.
Michael McAleer +2 more
core +3 more sources
What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets [PDF]
This paper asks whether the ‘leverage effect’ –as defined by Black (1976) for stock markets– is also a characteristic of foreign exchange markets. The study focuses on five Latin American emerging markets which have adopted a floating exchange regime ...
Cecilia Maya, Karoll Gómez
core
The prediction of fluctuation in the order-driven financial market. [PDF]
PLoS One, 2021 Shi F +5 more
europepmc +1 more source
A Comprehensive Study of Market Prediction from Efficient Market Hypothesis up to Late Intelligent Market Prediction Approaches. [PDF]
Comput Econ, 2022 Aminimehr A +3 more
europepmc +1 more source
Dynamic connectedness between green energy and carbon risk during Russia-Ukraine conflict: new evidence from a wavelet analysis. [PDF]
Environ Sci Pollut Res Int, 2023 Ha LT.
europepmc +1 more source
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold [PDF]
This paper addresses two questions. First, we investigate whether gold is a hedge against stocks and/or bonds and second, we investigate whether gold is a safe haven for investors if either stocks or bonds fall. A safe haven is defined as a security that
Brian M. Lucey, Dirk G. Baur
core
The predictive capacity of GARCH-type models in measuring the volatility of crypto and world currencies. [PDF]
PLoS One, 2021 Naimy V +3 more
europepmc +1 more source
The role of precious metals in portfolio diversification during the Covid19 pandemic: A wavelet-based quantile approach. [PDF]
Resour Policy, 2022 Alqaralleh H, Canepa A.
europepmc +1 more source
Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies. [PDF]
Glob Financ J, 2022 Tiwari AK +3 more
europepmc +1 more source