Results 21 to 30 of about 132,901 (169)
A wavelet approach towards examining dynamic association, causality and spillovers [PDF]
International Journal of Data and Network Science, 2019 This paper presents an integrated granular framework of wavelet decomposition, DCC-GARCH, ADCC-GARCH, Diks-Panchenko nonlinear Granger’s causality and Diebold-Yilmaz spillover assessment techniques to understand temporal correlation, causal interplay and
Indranil Ghosh, Tamal Datta Chaudhuri
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European Financial Markets Exposed to Exogenous Shocks: Communication Dynamics Among Investors and Tech Models to Detect Financial Contagion [PDF]
Revista de Studii FinanciareBrexit, the Covid Pandemic and the Russia-Ukraine War represent the latest three major global events that have demonstrated that financial contagion is a phenomenon that needs careful study because its global effects can cause unprecedented shocks to ...
Cecilia Ciocîrlan +2 more
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Energies, 2019 In this paper, we investigate the connectedness between natural gas and BRICS (Brazil, Russia, India, China, and South Africa)’s exchange rate in terms of time and frequency. This empirical work is based on the approach of connectedness proposed by
Yijin He +2 more
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Is there an intraday volatility spillover between exchange rate, gold and crude oil?
Journal of Open Innovation: Technology, Market and Complexity, 2023 The study examines the intraday volatility spillover between the exchange rate, gold, and crude oil using the Dynamic Generalized Conditional Correlation GARCH model (DCC GARCH) and the BEKK GARCH model.
Moonis Shakeel +4 more
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Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies
Financial Innovation, 2021 This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan,
David Y. Aharon +2 more
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Estudios Gerenciales, 2021 En el presente artículo se estudian los spillovers (derrames) entre el S&P500 y el Mercado Integrado Latinoamericano para verificar si el inicio de la epidemia por COVID-19 y el entorno de ese momento cambiaron la dinámica de su nivel de conectividad ...
César Gurrola-Ríos +2 more
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Spillover and Drivers of Uncertainty among Oil and Commodity Markets
Mathematics, 2021 The paper aims to examine the spillover of uncertainty among commodity markets using Diebold–Yilmaz approach based on forecast error variance decomposition.
Muhammad Abubakr Naeem +3 more
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Volatility spillover effect between oil prices and foreign exchange markets
Energy Strategy Reviews, 2021 This research examines empirically volatility spillover effect of oil prices on exchange rate. We are specifically concerned with the comparison of the relative magnitude of the oil shock on the exchange rate volatilities of 5 major oil importers ...
Zartashia Hameed +2 more
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Regional inflation spillovers in the Russian Federation [PDF]
Известия Саратовского университета. Новая серия: Серия «Экономика. Управление. Право»Introduction. A large number of studies have been devoted to the study of spillover effects in many sectors of the economy. However, inflation spillovers in regional data from Russia are studied for the first time. Theoretical analysis.
Krotova, Yulia Igorevna +2 more
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Agricultural Economics (AGRICECON), 2022 The price of fertiliser, which is one of the most important inputs of agricultural production, has increased significantly in recent years. In this study, we empirically analysed the effect of volatility in fertiliser prices on selected agricultural ...
Harun Uçak, Yakup Ari, Esin Yelgen
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