Hedging strategies among financial markets: the case of green and brown assets. [PDF]
Empir Econ, 2023 Raheem ID +3 more
europepmc +1 more source
Forecasting multivariate volatility in larger dimensions: some practical issues [PDF]
The importance of covariance modelling has long been recognised in the field of portfolio management and large dimensional multivariate problems are increasingly becoming the focus of research.
Adam E Clements +2 more
core
Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
europepmc +1 more source
Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. [PDF]
Empir Econ, 2023 Cheng J.
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
LSTM-GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. [PDF]
Comput Econ, 2023 García-Medina A, Aguayo-Moreno E.
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
Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies [PDF]
This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models.
Hammoudeh, S.M., McAleer, M.J., Yuan, Y.
core +1 more source
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
Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets [PDF]
This paper investigates dynamic interdependence, price and volatility transmissions and financial integration between Turkey and major equity markets in EU and USA.
Huseyin Tastan
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