[HTML][HTML] Economic activity, and financial and commodity markets' shocks: An analysis of implied volatility indexes
C Urom, G Ndubuisi, J Ozor - International Economics, 2021 - Elsevier
This paper examines the dynamic short-and long-run asymmetric interactions and causality
between real economic activity and stock and gold markets volatility shocks using both the …
between real economic activity and stock and gold markets volatility shocks using both the …
Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes
This paper analyzes the cross-quantile dependence and causality between non-ferrous
metals and clean energy indices by employing data from November 2003 to May 2019 …
metals and clean energy indices by employing data from November 2003 to May 2019 …
Dynamic integration and transmission channels among interest rates and oil price shocks
This paper examines the short term dynamic integration among oil price shocks and interest
rates for the USA, Euro area and twelve Asian economies from August 1999 to January …
rates for the USA, Euro area and twelve Asian economies from August 1999 to January …
Quantile dependencies and connectedness between stock and precious metals markets
The paper examines the frequency-based interlinkages between stock indices and precious
metals at extreme and median quantiles. It employs the quantile cross-spectral approach …
metals at extreme and median quantiles. It employs the quantile cross-spectral approach …
Stock markets from COVID-19 to the Russia–Ukraine crisis: structural breaks in interactive effects panels
C Karamti, A Jeribi - The Journal of Economic Asymmetries, 2023 - Elsevier
Financial markets are frequently exposed to a variety of crises at the national, regional, and
global levels, with potentially heterogeneous effects on market performance. To make sound …
global levels, with potentially heterogeneous effects on market performance. To make sound …
Spillovers and portfolio optimization of precious metals and global/regional equity markets
We examine the spillovers and resource allocation characteristics of a portfolio of precious
metal commodities and global/regional equity markets using a directional spillover index …
metal commodities and global/regional equity markets using a directional spillover index …
Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns
This paper has two aims. First, we measure the asymmetric effect of crude oil prices on stock
returns under a regime switching framework in the context of major oil exporting countries …
returns under a regime switching framework in the context of major oil exporting countries …
Asymmetric nexus between energy prices, precious metal prices and stock market prices in the Indian context: evidence from a nonlinear ARDL model approach
Relationships among energy, metal and stock prices are of huge interest among various
stakeholders around the world. This paper investigates the cointegration among stock …
stakeholders around the world. This paper investigates the cointegration among stock …
The business cycle's influence on share repurchases of the UK
The UK fully legalised open market share repurchases in 1981, and to our knowledge no
study has investigated the business cycle's influence on repurchase decision-making. We …
study has investigated the business cycle's influence on repurchase decision-making. We …
[PDF][PDF] Municipal bond volatility spillover modeling with COVID-19 effects by hybrid integration of GARCH and machine learning: The connectedness of US states and …
After the passage of the United States Africa Growth and Opportunity Act (AGOA), the
emerging market economy of South Africa (SA) recorded substantial increases in duty-free …
emerging market economy of South Africa (SA) recorded substantial increases in duty-free …