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
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
Financial Contagion and the European Debt Crisis [PDF]
Since the beginning of 2010, the Euro Area faces a severe sovereign debt crisis, now generally known as the Euro Crisis. While the Euro Crisis has its origin in Greece, problems have now spread to several other European countries as well.
Sebastian Missio, Sebastian Watzka
core
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
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
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
An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model [PDF]
The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is extended to account for asymmetric effects.
Vargas, Gregorio A.
core +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
AI-Carbon-Energy: Spillover effects and drivers in interconnected markets. [PDF]
iScienceZhang M, Pan Y, Su B, Zhou D.
europepmc +1 more source
Comparison of Value at Risk (VaR) Multivariate Forecast Models. [PDF]
Comput Econ, 2022 Müller FM, Righi MB, Righi MB.
europepmc +1 more source