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Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the...
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Re-examining the impact of oil prices on stock returns in the presence of time-varying volatility
Through Monte Carlo simulations, we explore the size, power and probability of making a type II error for a linear model with an exogenous regressor...
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The Time-Varying Volatility of Chinese Stock Market
This paper investigates the time-varying volatility of Chinese stock market with GARCH model. The conditional variance is estimated using the data of... -
Time-varying spillovers in high-order moments among cryptocurrencies
This study uses high-frequency (1-min) price data to examine the connectedness among the leading cryptocurrencies (i.e. Bitcoin, Ethereum, Binance,...
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Do oil prices predict the exchange rate in Algeria? Time, frequency, and time‐varying Granger causality analysis
This study investigates whether international crude oil prices predicted the exchange rate in Algeria between January 1988 and June 2022. This paper...
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Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers
This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency...
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Research on jumps and volatility in China’s carbon market
This paper analyzes the jum** behavior and factors influencing volatility in China’s five carbon pilot markets. We confirm the presence of a...
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On the time-varying effects of the ECB’s asset purchases
This paper (re-)evaluates the effectiveness of central bank asset purchases in the euro area given their prominent role in the ECB’s response to the...
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Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness
This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023. To this end, we...
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Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR-SV Models
This study uses a family of VAR models with time-varying parameters and stochastic volatility (TVP-VAR-SV) to analyze the impact of external shocks...
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Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model
This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using...
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The Time-Varying Connectedness Between China’s Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis
This paper examines the relationship between world crude oil markets following the introduction of Shanghai crude oil futures from the perspective of...
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Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy
This paper modifies and employs a Bayesian Local Likelihood approach to estimate time-varying parameters of a New Keynesian model and assess such...
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Price dynamics and volatility jumps in bitcoin options
In the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options, which is timely and important given that both Nasdaq...
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Dynamic volatility among fossil energy, clean energy and major assets: evidence from the novel DCC-GARCH
The objective of this paper is to assess the dynamic volatility connectedness between fossil energy, clean energy, and major assets i.e., Bonds,...
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The impact of pandemic on dynamic volatility spillover network of international stock markets
Since the beginning of the twenty-first century, several pandemics, including SARS and COVID-19, have spread faster and on a broader scale. Not only...
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Stock profiling using time–frequency-varying systematic risk measure
This study proposes a wavelets approach to estimating time–frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic...
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Examining the Time Varying Spillover Dynamics of Indian Financial Indictors from Global and Local Economic Uncertainty
The research aims to excavate the role of global (Fed Rate, Crude, Real Dollar Index) and endogenous economic variables (GDP and Consumer Price...
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Market Ecology: Trading Strategies and Market Volatility
The value strategy and technical analysis strategy have existed in the financial market for a long time, and the impact of these two types of...
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Time and frequency volatility spillovers among commodities: Evidence from pre and during the Russia-Ukraine war
This paper studies the volatility spillovers among commodities in both magnitude and timescale before and after the Russia-Ukraine war. We adopt the...