DYNAMIC RELATIONS AND SHARIA STOCK MARKET INTEGRATION WITH OIL PRICES (Studies: Indonesia, Malaysia, USA, UK, Japan 2012-2016) [PDF]
, 2017 The purpose of this research is to analyze the relationship of dynamic and integration between world sharia stock market with world crude oil price. This research can find out the integration relationship between world sharia stock market with world ...
KARATRI, Rhealin Hening +2 more
core
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
The analysis of interest rate mean and volatility spillover to the industrial production index and stock markets: The case of China [PDF]
Empirical results found the parameter estimates for the CCC-MGARCH models display that the short run persistence is positive and significant and the positive and significant ARCH and GARCH term show the ARCH and GARCH effect exist in these models.
Ching-Chun Wei
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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
Tarım Ekonomisi DergisiÖzet Amaç: Günümüz dünyasında, jeopolitik gerilimler ve çatışmalar, küresel ekonomi üzerinde derin etkiler yaratabilmektedir. 2020'de başlayan COVID-19 pandemisi ve ardından meydana gelen Rusya-Ukrayna savaşı da özellikle emtia piyasaları üzerinden küresel ölçekte olumsuz etkilere sebep olmuştur.
Asuman Eşlik +2 more
openaire +2 more sources
Spillover Effect of Food Producer Price Volatility in Indonesia
EconomiesFood price volatility is a persistent challenge in Indonesia, where agriculture is central to food security and rural livelihoods. While price transmission has been studied, little is known about how volatility spreads sub-nationally in archipelagic ...
Anita Theresia +3 more
doaj +1 more source
Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis. [PDF]
Heliyon, 2023 Ben-Ahmed K, Theiri S, Kasraoui N.
europepmc +1 more source
Dynamic Conditional Correlation with Elliptical Distributions [PDF]
The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns.
Matteo Pelagatti, Stefania Rondena
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How interrelated are MIST equity markets with the developed stock markets of the world?
Cogent Economics & Finance, 2017 This study explores the long-run and short-term relationship between the Mexico, Indonesia, South Korea, and Turkey (MIST) equity markets and the developed stock markets such as US, UK, Germany, Japan, Hong Kong, and Singapore.
Vinodh Madhavan
doaj +1 more source
An empirical investigation of investor sentiment and volatility of realty sector market in India: an application of the DCC-GARCH model. [PDF]
SN Bus Econ, 2023 Pillada N, Rangasamy S.
europepmc +1 more source