Co-movement between Covid-19 and G20 stock market returns: A time and frequency analysis. [PDF]
Heliyon, 2023 Phiri A, Anyikwa I, Moyo C.
europepmc +1 more source
Time-Varying Beta Estimators in the Mexican Emerging Market [PDF]
This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study is conducted using returns from the
Nieto Domenech, Belén +2 more
core
DCC-GARCH İLE ALTINDA SPOT FİYAT, VADELİ FİYAT VE RİSK İLİŞKİSİ
Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2021 openaire +2 more sources
Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. [PDF]
Comput Econ, 2022 Afuecheta E +3 more
europepmc +1 more source
Nonlinear causality testing with stepwise multivariate filtering [PDF]
This study explores the direction and nature of causal linkages among six currencies denoted relative to United States dollar (USD), namely Euro (EUR), Great Britain Pound (GBP), Japanese Yen (JPY), Swiss Frank (CHF), Australian Dollar (AUD) and Canadian
Stelios Bekiros
core
Comparison of Value at Risk (VaR) Multivariate Forecast Models. [PDF]
Comput Econ, 2022 Müller FM, Righi MB, Righi MB.
europepmc +1 more source
Quantifying the Linguistic Complexity of Pan-Homophonic Events in Stock Market Volatility Dynamics. [PDF]
Entropy (Basel)Zhang Y, Tian J, Zou Y, Zhang X, Cai X.
europepmc +1 more source
Multivariate models of commodity futures markets: a dynamic copula approach. [PDF]
Empir Econ, 2023 Chen S, Li Q, Wang Q, Zhang YY.
europepmc +1 more source
Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]
PLoS OneZeng J, Wu J.
europepmc +1 more source
The Protective Nature of Gold During Times of Oil Price Volatility: An Analysis of the COVID-19 Pandemic. [PDF]
Extr Ind Soc, 2023 Li Y, Umair M.
europepmc +1 more source