Results 31 to 40 of about 6,108 (234)
International Review of Financial Analysis, 2020 This paper examines the dynamic relationship between the oil market and stock markets from two perspectives: dependence between the crude oil market (WTI) and stock markets of the US and China, and volatility spillovers between them during 1991–2016.
Lean Yu +4 more
semanticscholar +1 more source
Shocks and Volatility Spillover Between Stock Markets of Developed Countries and GCC Stock Markets
Journal of Taibah University for Science, 2019 The purpose of this paper is to examine the spillover of returns, information and volatility of returns, and conditional variance-covariance between the stock markets of developed countries namely the United States of America, the United Kingdom and ...
Ajab A. Alfreedi
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Medienimpulse, 2014 Die pädagogische Zielgruppe des BMBF-Forschungsprojekts "MediaArt@Edu" (Leitung: Dr. Daniela Reimann, Wiss. Mitarbeiterin: Simone Bekk) sind TeilnehmerInnen außerschulischer berufsvorbereitender Bildungsmaßnahmen, die im Rahmen von künstlerischen ...
Daniela Reimann, Simone Bekk
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International Journal of Financial Studies, 2023 This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end,
Nassar S. Al-Nassar
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Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK [PDF]
Journal of Risk and Financial Management, 2018 As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical ...
Chia-Lin Chang +2 more
openaire +5 more sources
Testing the volatility spillover between crude oil price and the U.S. stock market returns [PDF]
Management Science Letters, 2019 The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016.
Mehmet Kondoz +3 more
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JAPAN TAPPI JOURNAL, 1966 Measuring principle of Bekk's smoothness is analysed and it is clarified that there exists in measuring Bekk's smoothness excessive leakage of air which depends on permeability of paper and the roughness of paper of the opposite side of the tested surface. And so the excessive leakage is measured experimentally to be found out that it can not neglected
Yamamoto, Kentaro +2 more
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Journal of Risk and Financial Management, 2022 This paper investigates co-movements among the Chinese stock market, Shanghai International Energy Exchange (INE) crude oil futures and West Texas Intermediate (WTI) crude oil futures.
Xiaoling Yu, Kaitian Xiao
semanticscholar +1 more source
Stationarity and geometric ergodicity of BEKK multivariate GARCH models
Stochastic Processes and their Applications, 2011 Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained.
Boussama, Farid +2 more
openaire +3 more sources
The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2014 Undoubtedly, new developments in information and trading technologies have increased the integration of international financial markets in the world. This in turn has generated interest in examining the volatility transmission of financial market across ...
Nasser Khiabani, Manouchehr Dehghani
doaj