Results 121 to 130 of about 3,891 (206)

Volatility Spillovers and Market Integration in South Africa’s Fresh Produce Markets

Commodities
Price volatility in the South African fresh produce market poses significant risks to the entire value chain. This study examines the extent of price volatility and spillover effects in these markets to improve price risk management and enhance market ...
David Kalima, Mariëtte Geyser, Andrea Saayman   +2 more
doaj   +1 more source

Do Time-Varying Covariances, Volatility Comovement and Spillover Matter? [PDF]

Financial markets and their respective assets are so intertwined; analyzing any single market in isolation ignores important information. We investigate whether time varying volatility comovement and spillover impact the true variance-covariance matrix ...
Lakshmi Balasubramanyan
core  

R2 decomposed connectedness measures and multivariate portfolio techniques using DCC-GARCH models

, 2023
In this study, we investigate the return propagation mechanism across four clean energy indices, namely, the NASDAQ OMX Green Economy Index, NASDAQ OMX Solar Energy Index, NASDAQ OMX Wind Energy Index, and NASDAQ OMX Geothermal Energy Index ranging from December 21st, 2010 until June 2nd, 2023 by using a novel DCC-GARCH-based R2 decomposed ...
openaire   +1 more source

The effect of COVID-19 and U.S. monetary policy on Bitcoin and stock market volatility: an application of DCC-GARCH model

Humanities & Social Sciences Communications
During the COVID-19 pandemic and subsequent periods of US monetary policy normalization after quantitative easing during COVID-19, global financial markets have encountered elevated levels of volatility and risk.
Kamphol Panyagometh
doaj   +1 more source

CEE Banking Sector Co-Movement: Contagion or Interdependence? [PDF]

We study the evolution of global equity market integration using US dollar denominated iShares. Designed to mimic the movements of MSCI indices, these securities provide an easy pool of international diversification products for the investor.
Brian Lucey, Mahua Barari, Svitlana Voronkova   +2 more
core  

What Drives the Stock Market Integration in the CEE-3? [PDF]

, 2013
In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark.
Baumöhl, Eduard, Lyocsa, Stefan, Vyrost, Tomas   +2 more
core  

New approaches of the DCC-GARCH residual: Application to foreign exchange rates

26 pages, 18 ...
Shiraya, Kenichiro, Suzuki, Kanji, Yamakami, Tomohisa   +2 more
openaire   +2 more sources

Time-varying covariance structures A DCC-GARCH approach to testing the CAPM

, 2023
This master's thesis examines the implications of applyingtime-varying covariance structures betweenfour majorasset classes in the US economy within the framework of the conditional Capital Asset Pricing Model (CAPM). The DCC-GARCH-in-mean modelis employed to estimate the time-varying covariance structures.
Draget, Julian Alexander, Eggen, Øystein Olsen   +1 more
openaire   +1 more source

Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]

PLoS One, 2023
Danila N.
europepmc   +1 more source

The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries [PDF]

We analyze the time-variations of conditional correlations between selected Latin American emerging markets and between them and the World stock market to further shed light on the issues of capital market integration and portfolio diversification.
Duc Khuong Nguyen, Mohamed El Hedi Arouri, Mondher Bellalah   +2 more
core   +3 more sources