Results 171 to 180 of about 12,191 (249)

Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London [PDF]

This paper explores how international money markets reflected credit and liquidity risks during the global financial crisis. After matching the currency denomination, we investigate how the Tokyo Interbank Offered Rate (TIBOR) was synchronized with the ...
Shin-ichi Fukuda
core  

Institutional Differences, Crisis Shocks, and Volatility Structure: A By-Window EGARCH/TGARCH Analysis of ASEAN Stock Markets [PDF]

Jae‐Suk Yang
openalex   +1 more source

Forecasting value-at-risk of crude oil futures using a hybrid ARIMA-SVR-POT model. [PDF]

Heliyon
Zhang C, Zhou X.
europepmc   +1 more source

Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index. [PDF]

Entropy (Basel), 2022
Vo N, Ślepaczuk R.
europepmc   +1 more source

Exchange Rate and Interest Rate Exposure of UK Industries Using First‐order Autoregressive Exponential GARCH‐in‐mean (EGARCH‐M) Approach [PDF]

, 2013
Mojisola Olugbode, Ahmed El‐Masry, John Pointon   +2 more
openalex   +1 more source

Analyzing risk contagion and volatility spillover across multi-market capital flow using EVT theory and C-vine Copula. [PDF]

Heliyon
Afzal F, Pan H, Afzal F, Gul RF.
europepmc   +1 more source

Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic. [PDF]

J Econ Asymmetries, 2022
Vuong GTH, Nguyen MH, Huynh ANQ.
europepmc   +1 more source

The price continuity, return and volatility spillover effects of regular and after-hours trading. [PDF]

PLoS One
Chiu CL, Chang TH, Hsiao IF, Chiou DS.
europepmc   +1 more source

COVID-19 pandemic and financial market volatility: A quantile regression approach. [PDF]

Heliyon, 2023
Ullah S, Khan S, Hashmi NI, Alam MS.
europepmc   +1 more source