The Euro and European Financial Market Integration [PDF]
We use a time-varying copula model to investigate the impact of the introduction of the Euro on the dependence between seventeen European stock markets during the period 1994-2003.
Stephen Taylor +2 more
core
Stock market volatility from the Covid-19 pandemic: New evidence from the Asia-Pacific region. [PDF]
Heliyon, 2022 Vo DH, Ho CM, Dang TH.
europepmc +1 more source
Modelling and forecasting volatility of East Asian Newly Industrialized Countries and Japan stock markets with non-linear models [PDF]
This paper explores the forecasting performances of several non-linear models, namely GARCH, EGARCH, APARCH used with three distributions, namely the Gaussian normal, the Student-t and Generalized Error Distribution (GED).
Guidi, Francesco
core +1 more source
The linkage between Bitcoin and foreign exchanges in developed and emerging markets. [PDF]
Financ Innov, 2023 BenSaïda A.
europepmc +1 more source
Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]
Entropy (Basel)Than HT.
europepmc +1 more source
Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets. [PDF]
Comput Econ, 2022 Harb E, Bassil C, Kassamany T, Baz R.
europepmc +1 more source
Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]
PLoS OneZeng J, Wu J.
europepmc +1 more source
ECG Signal Modeling Using Volatility Properties: Its Application in Sleep Apnea Syndrome. [PDF]
J Healthc Eng, 2021 Faal M, Almasganj F.
europepmc +1 more source
Using smart transportation assets to hedge fossil energy markets: Evidence from quantile-based VAR approach. [PDF]
PLoS OneHasan MB +5 more
europepmc +1 more source
Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]
PLoS OneSiddiqui N, Mohamad Hasim H.
europepmc +1 more source