Results 71 to 80 of about 3,891 (206)
Przegląd Statystyczny, 2015 The article seeks to investigate the issue of interdependence that during crisis periods in the capital markets is of particular importance due to the likelihood of causing a crisis in the real economy. The research objective of the article is to identify this interdependence in volatility.
Faldzinski, Marcin +1 more
openaire +2 more sources
A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets
Entrepreneurial Business and Economics Review, 2018 Objective: In this article, we try to determine whether there are contagion effects across the Greek stock market and the Belgian, French, Portuguese, Irish, Italian and Spanish stock markets during both crises periods.
Mohamed Ali Trabelsi, Salma Hmida
doaj +1 more source
European Financial Management, Volume 31, Issue 5, Page 1704-1719, November 2025.ABSTRACT This study highlights the significance of incorporating environmental, social, and governance (ESG) criteria within investment strategies to strengthen risk management in volatile markets. Employing time‐varying parameter vector autoregressions and dynamic conditional correlation generalized autoregressive conditional heteroskedasticity models,
Mohamed Arouri +2 more
wiley +1 more source
Portfolio Optimization under Solvency Constraints: A Dynamical Approach [PDF]
, 2014 We develop portfolio optimization problems for a nonlife insurance company seeking to find the minimum capital required that simultaneously satisfies solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider
Asimit V.A. +5 more
core +1 more source
DCC-Garch Models Using Islamic Market and European Market Indices
Islamic Banking and Finance Review, 2017 The last financial crisis (2007-2008) raises the question of how European stock shocks are distributed and transmitted from developed stock markets to Islamic stock markets. More precisely, the problem related to Islamic finance or any other alternative finance is, whether the shocks to the volatilities in the asset returns constitute substitute or ...
openaire +1 more source
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets
Journal of Futures Markets, Volume 45, Issue 9, Page 1253-1277, September 2025.ABSTRACT This paper investigates the mean, volatility, skewness, and kurtosis of price spillovers from the natural gas, coal, and CO2 emissions markets into the German electricity market from 2010 to July 2023, segmented into three periods: pre‐Russo‐Ukrainian war, war‐triggered price rise, and postwar adjustment. Utilizing a flexible probability model
Filippos Ioannidis +2 more
wiley +1 more source
Financial contagion and globalization : evidence from South Asian countries [PDF]
, 2018 This study investigates the contagion and globalization between the South Asian (Pakistan, India, Bangladesh and Sri Lanka) and five largest economies (US, UK, China, Japan and Germany) stock markets.
Laeeq, Hood +3 more
core +1 more source
Revista de Métodos Cuantitativos para la Economía y la Empresa, 2019 La tasa de cambio está influenciada por múltiples factores macroeconómicos nacionales e internacionales, lo que genera altos niveles de incertidumbre.
Maya Sierra, Giuliana +1 more
doaj
Systemic Credit Risk Premium: Insights From Credit Derivatives Markets
Journal of Futures Markets, Volume 45, Issue 9, Page 1448-1465, September 2025.ABSTRACT This study examines the market‐implied premiums for bearing systemic credit risk by analyzing credit derivatives on the CDX North American Investment Grade portfolio from September 2005 to March 2021. We construct systemic credit risk premium (SCRP) as the difference between the observed prices of multiname super‐senior tranches and their ...
Kiwoong Byun, Baeho Kim, Dong Hwan Oh
wiley +1 more source
Deep Learning and Machine Learning Insights Into the Global Economic Drivers of the Bitcoin Price
Journal of Forecasting, Volume 44, Issue 5, Page 1666-1698, August 2025.ABSTRACT This study examines the connection between Bitcoin and global factors, including the VIX, the oil price, the US dollar index, the gold price, and interest rates estimated using the Federal funds rate and treasury securities rate, for forecasting analysis.
Nezir Köse +2 more
wiley +1 more source