Results 31 to 40 of about 5,862 (226)
Investigating the Impact of International Sanctions on Performance Indicators of Tehran Stock Exchange with Industries Divided From 2010 to 2020 [PDF]
مدلسازی اقتصادسنجی, 2023 In this research, the impact of the impact of the international sanctions index on the performance indices of the Tehran Stock Exchange by industries, including mass production indices, banks, insurance, automobiles, investments, basic metals, rubber ...
Hamid Reza Vaezian +3 more
doaj +1 more source
Energies, 2021 The COVID-19 pandemic is having a strong influence in all areas of society, like wealth, economy, travel, lifestyle habits, and, amongst many others, financial and energy markets. The influence in standard energies, like crude oil, and renewable energies
Riccardo De Blasis, Filippo Petroni
doaj +1 more source
Exchange Markets and Stock Markets Integration in Latin-America
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2022 We analyze the relationship between the exchange markets and the integration process of the Latin American stock markets (MILA), focusing the analysis on two points.
Jorge Andrés Muñoz Mendoza +4 more
doaj +1 more source
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
OPTIMAL HEDGE RATIO OF SUKUK AND ISLAMIC EQUITY: A NOVEL APPROACH
Journal of Islamic Monetary Economics and Finance, 2023 This research applies a novel model to compute a hedge ratio. Specifically, the model modifies volatility forecasts of an exponentially weighted moving average method to account for the fat-tailed distribution of returns.
Bayu Adi Nugroho +1 more
doaj +1 more source
Cogent Economics & Finance, 2022 This paper is the first study to examine the financial contagion from the U.S., Japanese and Chinese markets to Asian markets during the Global Financial Crisis (GFC) and Covid-19 Pandemic Crisis. We employ the DCC-EGARCH methodology and daily data of stock returns from 2005 to 2021 to estimate the time-varying correlations and the volatilities of ...
Thi Ngan Nguyen +2 more
openaire +3 more sources
MIDAS models in banking sector – systemic risk comparison
Managerial Economics, 2018 This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in
Henryk Gurgul +2 more
doaj +1 more source
Return and Volatility Spillovers Among Major Cotton Markets
Agribusiness, EarlyView.ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli +3 more
wiley +1 more source
On the linkages between stock prices and exchange rates: evidence from the banking crisis of 2007-2010 [PDF]
, 2013 This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010 ...
Caporale, GM, Hunter, J, Menla Ali, F
core +5 more sources
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source