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Apostolos Ampountolas
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 volatility of...
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Bachar FAKHRY
Pág. 227 - 256
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Hudson Chaves Costa,Sabino da Silva Porto Junior,Gabrielito Menezes
Pág. 635 - 667
This article examines empirically the behavior of the correlation between the return of shares listed on the BMF& BOVESPA over the period from 2000 to 2015. To this end, we use multivariate GARCH models introduced by Bollerslev (1990) to remove the tempo...
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Wendy Sidon Meira de Oliveira,André Nunes Maranhão
Pág. 569 - 603
We present in this study the results of volatility spillover in the Brazilian stock market, measured by conditional correlations. Using GARCH multivariate conditional correlations were estimated at 3 different models combining the Ibovespa index of the t...
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Lucas Lucio Godeiro
Pág. 253 - 275
The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas ...
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Marcelo Brutti Righi,Paulo Sergio Ceretta
Pág. 529 - 550
In this paper we estimate a dynamic portfolio composed by the U.S., German, British, Brazilian, Hong Kong and Australian markets, the period considered started on September 2001 and finished in September 2011. We ran the Copula-DCC-GARCH model on the dai...
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Jelena Minovic
Pág. 73 - 87
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Yassine Belasri,Rachid Ellaia
Pág. 384 - 396
Volatility and correlation are important metrics of risk evaluation for financial markets worldwide. The latter have shown that these tools are varying over time, thus, they require an appropriate estimation models to adequately capture their dynamics. M...
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Kaijian He, Kin Keung Lai and Guocheng Xiang
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 typical m...
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E.M. Afsal,Mohammad Imdadul Haque
Pág. 1025 - 1034
The price movements in gold market are considered to detect non-linear dependencies with stock market in the Saudi Arabian context. Both the univariate and multivariate models of GARCH class are employed in this study. Initially, the work uses GARCH (1,1...
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Nadhem Selmi,Nejib Hachicha
Pág. 353 - 362
This paper examines whether the bank can be a cause of contagion during the global financial crisis. This paper utilizes a Dynamic Conditional Correlation Model to examine the financial contagion phenomenon following the recent financial crisis. This mod...
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Nidhi Malhotra,Saumya Gupta
Pág. 208 - 215
Although, the growth in the cryptocurrency market slowed down after the meteoric rise in late 2017, the market is still enjoying steady capital inflow. This has made the study of market dynamics between the cryptocurrencies and equity market indispensabl...
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Afees A. Salisu, Kazeem O. Isah, Alberto Assandri
Pág. 255 - 283
This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VAR...
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Nader Naifar
This study investigates the impact of commodity price volatility (including soft commodities, precious metals, industrial metals, and energy) on the dynamics of corporate sukuk returns. Using a sample of sukuk indices from Gulf Cooperation Council (GCC) ...
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Massimo Peri, Daniela Vandone and Lucia Baldi
Water, energy, and food and are strongly interconnected, and the sustainability of the whole world depends on this link. The aim of this article is to analyze the volatility spillovers between indexes representing the financial component of this nexus. W...
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Nessrine Hamzaoui,Boutheina Regaieg
Pág. 694 - 702
This paper empirically examines the interdependence between the foreign exchange forward premiums and the spot exchange return through a Multivariate GARCH type framework. The purpose of this study is to test the correlation sensitivity to shocks a...
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Gaye Gencer,Erdem Kilic
Pág. 170 - 182
The aim of this research is to expand the literature of market return volatility for the Istanbul Stock Exchange (ISE) sector indices by analyzing the conjoint impact of oil and gold returns and their volatilities. We use both aggregated and disaggregate...
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Zouheir Mighri,Faysal Mansouri
Pág. 637 - 661
This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and ...
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Alexandre Rubesam,André Lomonaco Beltrame
Pág. 81 - 118
We investigate minimum variance portfolios in the Brazilian equity market using different methods to estimate the covariance matrix, from the simple model of using the sample covariance to multivariate GARCH models. We compare the performance of the mini...
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Christos Kollias, Stephanos Papadamou and Costas Siriopoulos
Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being transmitted...
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