Results 21 to 30 of about 35,058 (267)

Price volatility spillover of Indian onion markets: A comparative study

The Indian Journal of Agricultural Sciences, 2023
To investigate the interdependence between Indian onion markets in terms of price volatility, the present study was conducted in four different vital onion markets in India, viz. Mumbai, Nashik, Delhi and Bengaluru.
KANCHAN SINHA, SANJEEV PANWAR, WASI ALAM, K N SINGH, BISHAL GURUNG, RANJIT KUMAR PAUL, ANIRBAN MUKHERJEE   +6 more
doaj   +1 more source

Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?

Economies, 2019
The impact that oil market shocks have on stock markets of oil-related economies has several implications for both domestic and foreign investors. Thus, we investigate the role of the oil market in deriving the dynamic linkage between stock markets of ...
Manel Youssef, Khaled Mokni
doaj   +1 more source

Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns: Using GARCH-Based Dynamic Conditional Correlation Model

SAGE Open, 2021
To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive conditional heteroscedasticity (GARCH) models on daily stock ...
Fahim Afzal, Pan Haiying, Farman Afzal, Asif Mahmood, Amir Ikram   +4 more
doaj   +1 more source

UK Frequency Response Service Markets and Their Implications for China’s Frequency Regulation Market Construction

Zhongguo dianli, 2023
The high proportion of renewable energy increases the demand for high-performance frequency response services, which brings challenges to the construction of electricity markets.
Wensheng YE, Zhaoxia JING, Zongheng XUAN
doaj   +1 more source

The Dynamics of Market Efficiency

The Review of Financial Studies, 2016
We study the dynamics of high-frequency market efficiency measures. We provide evidence that these measures comove across stocks and with each other, suggesting the existence of a systematic market efficiency component. In vector autoregressions, we show that shocks to funding liquidity (the TED spread), hedge fund assets under management, and a proxy ...
Rosch, Dominik, Subrahmanyam, A, van Dijk, Mathijs   +2 more
openaire   +1 more source

Dynamic links between the Nigerian equity market and those of selected regional and developed countries

Heliyon, 2020
The dynamic and growing interdependent nature of equity markets across the world has elicited the interest of investors and researchers alike. This study examines the dynamic interactions between the Nigerian stock market and selected regional and global
Eseosa David Obadiaru, Barnabas Olusegun Obasaju, Alex Ehimare Omankhanlen, David Tunji Eyiolorunshe   +3 more
doaj   +1 more source

Exploring dependence structures among European electricity markets: Static and dynamic copula-GARCH and dynamic state-space approaches

Energy Reports, 2022
In this paper, we examine various characteristics of both base and peak electricity spot prices and their returns, and investigate dependence structures, extreme co-movements, risk spillovers, and integration relationships among the five major European ...
Sel Ly, Songsak Sriboonchitta, Jiechen Tang, Wing-Keung Wong   +3 more
doaj   +1 more source

Equity return volatility in Africa’s stock markets: A dynamic panel approach

Cogent Economics & Finance, 2023
This study examines the determinants of time-varying return volatility of Africa’s equity markets using monthly indices of eight top African stock markets.
Godfred Aawaar, Louis Logogye, Daniel Domeher   +2 more
doaj   +1 more source

A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates.

PLoS ONE, 2018
In this study, we assess the dynamic evolution of short-term correlation, long-term cointegration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets from ...
Yanhua Chen, Rosario N Mantegna, Athanasios A Pantelous, Konstantin M Zuev   +3 more
doaj   +1 more source

Time-varying risk aversion and dynamic dependence between crude oil futures and European Union allowance futures markets

Frontiers in Environmental Science, 2023
In this paper, we propose the copula-mixed frequency data sampling model incorporating time-varying risk aversion (RA) (copula-MIDAS-RA model) to investigate the impact of time-varying RA on the dynamic dependence between crude oil futures and European ...
Xinyu Wu, Zhitian Zhu
doaj   +1 more source