Results 31 to 40 of about 15,085 (294)

Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* [PDF]

Journal of Financial Econometrics, 2018
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a framework based on the spectral representation of variance decompositions.
Jozef Barunik, Tomas Krehlik
openaire   +2 more sources

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
doaj   +1 more source

Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets

Borsa Istanbul Review, 2019
We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and ...
Huthaifa Alqaralleh, Diyama Awadallah, Noor Al-Ma'aitah   +2 more
doaj   +1 more source

Contagion and Interdependencies: A Dynamic Connectedness approach among Implied Volatilities [PDF]

, 2022
This study employs the TVP-VAR approach to capture the degree of interdependencies and contagion among sixteen implied volatilities. The 16 daily implied volatility indices comprise the implied volatility from various financial assets, such as ...
Asafo-Adjei, Emmanuel; id_orcid, Amoako, Gilbert K., Gilbert K. Amoako, Daniel Kofi Amoanyi, Asafo-Adjei, Emmanuel, Amoanyi, Daniel Kofi, Amoako, Gilbert Kwabena, Adam, Anokye M., Adam, Anokye Mohammed, Boateng, Ebenezer, Emmanuel Asafo-Adjei, Ebenezer Boateng, Anokye Mohammed Adam   +12 more
core   +1 more source

The Dynamic Connectedness between Risk and Return in the Fintech Market of India: Evidence Using the GARCH-M Approach

Risks, 2022
Fintech allows investors to explore previously unavailable investment opportunities; it provides new return opportunities while also introducing new risks.
Mukul Bhatnagar, Ercan Özen, Sanjay Taneja, Simon Grima, Ramona Rupeika-Apoga   +4 more
doaj   +1 more source

On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures

Entropy, 2021
In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis.
Keagile Lesame, Elie Bouri, David Gabauer, Rangan Gupta   +3 more
doaj   +1 more source

Agricultural commodities: An integrated approach to assess the volatility spillover and dynamic connectedness

Economics and Business Review, 2021
In this article the dynamic connectedness between the five agricultural commodities is examined by implementing the Diebold and Yılmaz (VAR based) and Time--Varying Parameter Vector Autoregressions (TVP-VAR) measures for understanding the time-varying ...
Mishra Arunendra, Kumar R Prasanth
doaj   +1 more source

Dynamic Connectedness in the Higher Moments Between Clean Energy and Oil Prices

SSRN Electronic Journal, 2023
Focusing on clean energy stocks and oil prices, we find that connectedness between these assets not only exists in volatility, but also at higher-order moments, such as skewness and kurtosis, which have been largely under studied in the existing ...
Wei Hao, Linh Pham
openaire   +3 more sources

Dynamic connectedness among regional FinTech indices in times of turbulences

, 2022
This study examines the connectedness among several regional FinTech indices and analyses the impact of Russia’s invasion of Ukraine on the dynamic spillovers.
Polat, Onur, Alshater, Muneer M., El Khoury, Rim, Yoon, Seong-Min   +3 more
core   +1 more source

The dynamic volatility nexus of FinTech, innovative technology communication, and cryptocurrency indices during the crises period

Journal of Open Innovation: Technology, Market and Complexity, 2023
In this study, we investigate the dynamic volatility connectedness of FinTech, innovative technology communication, and cryptocurrency indices for the period from June 2018 to June 2022.
Muneer Shaik, Mustafa Raza Rabbani, Youssef Tarek Nasef, Umar Nawaz Kayani, Abu Bashar   +4 more
doaj   +1 more source