108 Results Found

The research paper is devoted to developing a mathematical approach for dealing with time-varying parameters in rolling window logit models for credit risk assessment. Forecasting coefficients yields a better model accuracy than a trivial approach of...

This study explores how the volatility spillover mechanism and dynamic dependence among the founding BRICS equity markets, namely IBOVESPA, MICEX, Nifty 50, SSE, and JSE, have evolved over time using a multivariate DCC-GARCH model. The analysis is co...

The escalating frequency and severity of natural disasters present significant challenges to the stability and sustainability of global financial systems, with the US stock market being especially vulnerable. This study examines sector-level exposure...

A decade after the global financial crisis, the developments in stock market integration have increased the stability and liquidity of markets, and decreased the diversification benefits for investors. International trade is an important determinant...

This study explores the resilience of the Indian stock market in the face of global shocks in the post-pandemic era, focusing on its volatility dynamics and interconnections with international indices. Through a combination of Vector Autoregression (...

This study aims to combine the use of dynamic conditional correlation multiple generalized autoregressive conditional heteroskedasticity (DCC-GARCH) models and deep learning techniques in analyzing the dynamic correlation between stock markets. First...

The purpose of this study is to investigate the time-varying co-movement between the volatility of gold, exchange rate, and stock market returns in Iran, using weekly data from 27 September 2013 to 3 December 2021. The results of the wavelet-based ra...

Crude oil and natural gas are crucial to the Russian economy. Therefore, this study examined the interconnections between crude oil price, natural gas price, and Russian economic policy uncertainty (EPU) over the period 1994–2019 using multivar...

This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models. Specifically, we further measure Bitcoin...

Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatilit...

In this paper, we propose a new entropy-optimized bivariate empirical mode decomposition (BEMD)-based model for estimating portfolio value at risk (PVaR). It reveals and analyzes different components of the price fluctuation. These components are dec...

This research investigated the performance of a dynamic portfolio that consists of sustainable/ethical stocks and gold. The main purpose of this study is to prove that the inclusion of gold in sustainable/ethical stocks portfolios could produce bette...

In the turbulent landscape of financial markets, Bitcoin has emerged as a significant focus for investors due to its highly volatile returns. However, the risks and uncertainties associated with it necessitate effective hedging strategies. This paper...

Unlike most previous studies examining the causal relationship and dependence between exchange rates and real estate prices, this study aims to investigate the causal relationship and dependence between these two variables in a boom-and-bust market s...

This paper analyzes the co-movements of prices of fossil fuels, energy stock markets and EU allowances. This analysis is conducted in order to identify the spillover effect of volatility and correlation among these financial markets, and to provide a...

Food price volatility is a persistent challenge in Indonesia, where agriculture is central to food security and rural livelihoods. While price transmission has been studied, little is known about how volatility spreads sub-nationally in archipelagic...

The COVID-19 pandemic is having a strong influence in all areas of society, like wealth, economy, travel, lifestyle habits, and, amongst many others, financial and energy markets. The influence in standard energies, like crude oil, and renewable ener...

Price volatility in the South African fresh produce market poses significant risks to the entire value chain. This study examines the extent of price volatility and spillover effects in these markets to improve price risk management and enhance marke...

Based on the prices selected from European Energy Exchange (EEX) from 2013 to 2018, we investigate the inter-correlation of carbon spot and futures markets. Specifically, we adopt the widely used DCC-GARCH model and VAR-BEKK-GARCH model to conduct a...

The urgent need to mitigate climate change has elevated green hydrogen as a sustainable alternative to fossil fuels, while green cryptocurrencies have emerged to address the environmental concerns of traditional cryptocurrency mining. This study inve...

This study investigates the impact of environmental variables, such as carbon emissions and temperature anomalies, on cryptocurrency returns. While existing research has primarily focused on economic and financial determinants, the influence of envir...

The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks, particularly during periods of global crises such as the COVID-19 pandemic and the Russia–Ukraine war. This study investigates t...

Venture capital investment and hedge fund investment are two asset classes of alternative investment fund portfolios. The purpose of this study was to determine whether the digital currency named bitcoin truly adds to diversification in an alternativ...

This paper proposes a new approach to estimating the minimum variance hedge ratio (MVHR) based on the wild bootstrap and evaluates the approach using a spectrum of conservative to aggressive alternative hedging strategies associated with the percenti...

The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis i...

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX),...

This study investigates risk contagion and dependence structures between U.S. and Chinese technology-related stock markets, focusing on the electronics and semiconductor sectors. We employ DCC-GARCH models to capture time-varying correlations and cop...

Extreme weather events are the primary driver of environmental, social, and governance (ESG) responsible investment or sustainable stocks, which are gaining popularity worldwide, including in Thailand. Nevertheless, the function of sustainable stocks...

Biopharmaceutical companies are critical in developing vaccines, treatments, and diagnostics for COVID-19. Thus, understanding the contagion effects of their stock market can have important economic implications, especially in the context of global f...

In the event that the COVID-19 pandemic spreads across various stock markets, this study may be deemed as one of the primary studies to evaluate cross-market interactions. The study examines the spread of contagious effects originating from developed...

This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized su...

In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typic...

In order to study the two-way risk spillovers between financial and real industries under major public emergencies in the Chinese market from 2007 to 2020, the sample period of major emergencies was determined based on the value at risk (VaR) time se...

Pan-Homophonic events denote fluctuations in stock prices that are triggered by phonetic similarities between event keywords and stock tickers. As a relatively novel and under-researched phenomenon, they mirror a subtle yet influential behavioral dev...

This study investigates whether green assets can serve as safe havens for dirty assets in the context of carbon and energy futures markets. Using daily data from April 2021 to June 2025, the analysis focuses on four key instruments: carbon emissions...

The Global Fear Index (GFI) is a measure of fear/panic based on the number of people infected and deaths due to COVID-19. This paper aims to examine the interconnection or interdependencies between the GFI and a set of global indexes related to the f...

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility exponential...

The paper examines both the time-varying price and volatility transmission between US natural gas and crude oil wholesale markets, over the period 1990–2017. Short iterations suggest that neither commodity determines other’s returns, but...

In this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakista...

This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian cop...

This paper attempts to understand the dynamic interrelationships and financial asset capabilities of Bitcoin by analysing several aspects of its volatility vis-a-vis other asset classes. This study aims to analyse the volatility dynamics of the retur...

This study aims at examining whether hedging emerging Eastern Europe stock markets with commodities sectors can help in reducing market risks and whether it has the same effectiveness among different sectors. As an attempt to achieve this goal, we op...

This paper focuses on the time-varying correlation among China’s seven emissions trading scheme markets. Correlation analysis shows a weak connection among these markets for the whole sample period, which spans from 9 June 2014 to 30 June 2017....

Cryptocurrencies have gained a lot of attraction across the globe. Most observers of the cryptocurrency market will agree that crypto volatility is in a different league altogether. There has been a growing need to understand the nature of volatility...

In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as min...

The carbon–financial nexus helps firms evaluate susceptibility to carbon risk more effectively. This is the first research article to model the short- and long-run co-integrating association between European financial markets, the CBOE oil pric...

Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the...

Combined with the B-P (breakpoint) test and VAR–DCC–GARCH model, the relationship between WTI crude oil futures and S&P 500 index futures or CSI 300 index futures was investigated and compared. The results show that breakpoints exist in the relat...

Under the background of climate change, the risk spillover within the energy system is constantly intensifying. Clarifying the coupling relationship between entities within the energy system can help policymakers propose more reasonable policy measur...

Agricultural trade liberalization and protecting domestic markets encompass conflicting policy goals. Even though after the food crisis in 2008, national governments of food-deficit nations aimed at reducing food supply dependency on external markets...