Buletin Ekonomi Moneter dan Perbankan, 2023 We contribute to the literature by investigating the connectedness between crude oil prices and stock returns and the impact of the Russia-Ukraine war on stock returns in selected East Asia countries. Using the TVP-VAR model, we find that, on average, 42.
Chinmaya Behera
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Dynamic connectedness and integration in cryptocurrency markets [PDF]
International Review of Financial Analysis, 2019 Abstract This study applies a set of measures developed by Diebold and Yilmaz (2012, 2016) to examine connectedness via return and volatility spillovers across six large cryptocurrencies from August 7, 2015 to February 22, 2018. Regardless of the sign of returns, the results show that Litecoin and Bitcoin are at the centre of the connected network of
Qiang Ji +3 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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Interconnectedness and Spillover Effects amongst Stock Markets of the US, China, Germany, Japan and India using DCC-GARCH Model and Diebold Yilmaz Method [PDF]
Colombo Business JournalIn a rapidly globalising world, economic boundaries are dissolving as stakeholders seek broader opportunities. Corporations are now multinational, and investors are increasingly turning to global stock markets to maximise gains.
Archana Agarwal +2 more
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Baltık Kuru Yük Endeksi, Petrol, Altın, Dolar, MSCI Dünya Endeksi Arasındaki Volatilite Yayılımı
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2022 Finansal piyasalarda oluşabilecek fiyat hareketlerinin yönü hakkında bilgi sahibi olmak yatırımcılar, portföy yöneticileri ve riskten korunmak isteyenler için oldukça önemlidir.
Kader Çınar +3 more
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Volatility transmission between stock and exchange-rate markets: A connectedness analysis [PDF]
, 2016 This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015.
Fernández-Rodríguez, Fernando +1 more
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Bayesian nonparametric sparse VAR models [PDF]
, 2018 High dimensional vector autoregressive (VAR) models require a large number of parameters to be estimated and may suffer of inferential problems. We propose a new Bayesian nonparametric (BNP) Lasso prior (BNP-Lasso) for high-dimensional VAR models that ...
Billio, Monica +2 more
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The impact of COVID-19 on GCC equity and debt markets: Evidence from TVP-VAR estimation
Frontiers in Applied Mathematics and Statistics, 2022 COVID-19 has rapidly evolved into a global pandemic and has strongly impacted financial markets of the world, including the Gulf Cooperation Council (GCC) region.
Ali Murad Syed
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What are the Effects of Mothers’ and Fathers’ Depression and Thoughts of Death on Their Children’s Level of Parental Connectedness? [PDF]
, 2017 Mental health outcomes such as depression are often passed down in families. While links between the mental health conditions of parents and their children have been established, there is a limited understanding of these outcomes over time and the impact
De Luca, Susan +2 more
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Dynamic Choreographies - Safe Runtime Updates of Distributed Applications [PDF]
, 2015 Programming distributed applications free from communication deadlocks and races is complex. Preserving these properties when applications are updated at runtime is even harder.
Gabbrielli, Maurizio +4 more
core +5 more sources