Počet záznamov: 1  

Volatility and Dynamic Conditional Correlations of Worldwide Emerging and Frontier Markets

  1. BAUMÖHL, Eduard - LYÓCSA, Štefan. Volatility and Dynamic Conditional Correlations of Worldwide Emerging and Frontier Markets. - Registrovaný: Scopus, Registrovaný: Web of Science. In Economic Modelling. - Amsterdam : Elsevier Science. ISSN 0264-9993, 2014, vol. 38, pp. 175-183. VEGA 1/0393/12, APVV-0666-11. Dostupné na : <www.sciencedirect.com/science/article/pii/S0264999313005713>Ohlasy:
    [1] SRIANANTHAKUMAR, Sivagowry - NARAYAN, Seema. Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka. In International Review of Economics and Finance. ISSN 10590560, 2015-09-01, 39, pp. 504-520., Registrované v: SCOPUS
    [1] MAGHYEREH, Aktham I. - AWARTANI, Basel - HILU, Khalil Al. Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis. In Quarterly Review of Economics and Finance. ISSN 10629769, 2015-01-01, 56, pp. 123-138., Registrované v: SCOPUS
    [1] YANG, Lu - CAI, Xiao Jing - LI, Mengling - HAMORI, Shigeyuki. Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas. In Economic Modelling. ISSN 02649993, 2015-12-01, 51, pp. 308-314., Registrované v: SCOPUS
    [3] XIAO, Yang - CHEN, Jing-ping. A research on hedging strategy of correlation risk when extreme events happen. In Systems engineering - Theory & practice. ISSN 1000-6788. 2015, vol. 35, no. 3, p. 587-597.
    [1] KURACH, Radoslaw - PAPLA, Daniel. Should pension funds hedge currency risk? The case of Poland. In BALTIC JOURNAL OF ECONOMICS. ISSN 1406-099X, 2016, vol. 16, no. 2, pp. 81-94., Registrované v: WOS
    [1] MIMOUNI, Karim - CHARFEDDINE, Lanouar - AL-AZZAM, Moh'd. Do oil producing countries offer international diversification benefits? Evidence from GCC countries. In ECONOMIC MODELLING. ISSN 0264-9993, 2016, vol. 57, pp. 263-280., Registrované v: WOS
    [1] MENSAH, Jones Odei - ALAGIDEDE, Paul. How are Africa's emerging stock markets related to advanced markets? Evidence from copulas. In ECONOMIC MODELLING. ISSN 0264-9993, 2017, vol. 60, pp. 1-10., Registrované v: WOS
    [1] KULHANEK, Lumir. Stock Market Volatility in the European Emerging and Frontier Markets. In EUROPEAN FINANCIAL SYSTEM 2016: PROCEEDINGS OF THE 13TH INTERNATIONAL SCIENTIFIC CONFERENCE, 2016, vol., no., pp. 420-427. ISBN 978-80-210-8308-0., Registrované v: WOS
    [3] ŠKRINJARIĆ, Tihana. Measuring dynamics of risk and performance of sector indices on Zagreb stock exchange. In Croatian Review of Economic. Business and Social Statistics. ISSN 2459-5616, 2015, vol. 1, no. 1-2, pp. 27-40.
    [3] MENSAH, Jones Odei - ALAGIDEDE, Paul. How are Afrika's emerging stock markets related to advanced markets? Evidence from copulas. In ERSA working paper 624. July 2016, pp. 1-24. Dostupné na: https://econrsa.org/system/files/publications/working_papers/working_paper_624.pdf
    [3] BALA, Dahiru A. - TAKIMOTO, Taro. Stock markets volatility spillovers during financial crises: a DDC-MGARCH with Skew-t approach. In Discussion paper Series. Kyushu : Kyushu University, 2016. No. 2016-4, pp. 1-33. Dostupné na: http://catalog.lib.kyushu-u.ac.jp/handle/2324/1661970/DP2016-04.pdf
    [3] VLASENKO, Tetjana Volodimyrivna - VLASOVEC, Vitaljij Mychajlovyč. Modeljuvannja dynamiky rozvytku dlja udoskonalennja upravlinnja specializacieju pidpryemstva. In Technology audit and production reserves. ISSN 2226-3780, 2016, no. 5/4, s. 9-15.
    [3] TSUJI, Chikashi. Forecasting large price declines of the Nikkei using the S&P 500 implied volatility. In International Journal of Business Administration. ISSN 1923-4007, 2017, vol. 8, no. 1, pp. 58-63.
    [3] MAHESWARI, Suneel - GUPTA, Rakesh - LI, Jinze. A Comparative Analysis of Sector Diversification in Australia, India and China. In: Financial Planning Research Journal. 2018, vol.4, no. 1, pp. 76-100. ISSN 2206-1347.
    [3] POP, C. - BOZDOG, D. - CALUGARU, A. - GEORGESCU, M.A. An Assessment of the real development prospects of the EU 28 frontier equity markets. Chapter 7. In Handbook of Frontier Markets : the African, European and Asian Evidence, Vol. 1. London : Elsevier, 2016. Pp. [117-150]. ISBN 978-0-12-803776-8.
    [3] BAŠTA, Milan - MOLNÁR, Peter - HELMAN, Karel. Exploring relationship between developed and developing financial markets by wavelets. In LOSTER, T., PAVELKA, T., zost. In: THE 11TH INTERNATIONAL DAYS OF STATISTICS AND ECONOMICS. Prague: Melandrium, 2017, pp. 69-78. ISBN 978-80-87990-12-4.
    [3] NEWAZ, Mohammad Khaleq - PARK, Jin Suk. Asymmetries in Volatility and Spillovers and Market Development: A Comparative Study of Advanced, Emerging and Frontier Stock Markets. In: European Financial Management Association, 2017 Annual Meetings, June 28- July 1, 2017. Athens: [S.l.]. 2017, pp. 1-36.
    [1] MOKNI, Khaled - MANSOURI, Faysal. Conditional dependence between international stock markets: A long memory GARCH-copula model approach. In Journal of Multinational Financial Management. 2017-12-01, 42-43, pp. 116-131. ISSN 1042-444X., Registrované v: SCOPUS
    [1] CARAUSU, Dumitru Nicusor - FILIP, Bogdan Florin - CIGU, Elena - TODERASCU, Carmen. Contagion of Capital Markets in CEE Countries: Evidence from Wavelet Analysis. In EMERGING MARKETS FINANCE AND TRADE. 2018, vol. 54, no. 3, pp. 618-641. ISSN 1540-496X., Registrované v: WOS, SCOPUS
    [1] KUMAR, Ashish - KHANNA, Swati. GARCH BEKK approach to volatility behavior and spillover: Evidence from India, China, Hong Kong, and Japan. In Indian Journal of Finance. 2018-04-01, 12, 4, pp. 7-19. ISSN 097-38711., Registrované v: SCOPUS
    [1] SINGH, Amanjot - SINGH, Manjit. Co-movement among US, Frontier and BRIC Equity Markets after the Financial Crisis. In Global Business Review. 2018-04-01, 19, 2, pp. 311-327. ISSN 0972-1509., Registrované v: SCOPUS
    [1] BALA, Dahiru A. - TAKIMOTO, Taro. Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. In Borsa Istanbul Review. 2017-03-01, 17, 1, pp. 25-48. ISSN 2214-8450., Registrované v: SCOPUS
    [1] DAS, Debojyoti - KANNADHASAN, M. - TIWARI, Aviral Kumar - AL-YAHYAEE, Khamis Hamed. Has co-movement dynamics in emerging stock markets changed after global financial crisis? New evidence from wavelet analysis. In APPLIED ECONOMICS LETTERS. ISSN 1350-4851, 2018, vol. 25, no. 20, pp. 1447-1453., Registrované v: WOS, SCOPUS
    [1] AHMED, Walid M.A. How do Islamic versus conventional equity markets react to political risk? Dynamic panel evidence. In International Economics. ISSN 21107017, 2018-12-01, 156, pp. 284-304., Registrované v: SCOPUS
    [1] NEWAZ, Mohammed Khaleq - PARK, Jin Suk. The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. In QUARTERLY REVIEW OF ECONOMICS AND FINANCE. ISSN 1062-9769, 2019, vol. 71, pp. 79-94., Registrované v: WOS, SCOPUS
    [1] GIL-ALANA, Luis - CARCEL, Hector - ABAKAH, Emmanuel Joel Aikins. On the linkages between Africa's emerging equity markets and global markets: Evidence from fractional integration and cointegration. In REVIEW OF DEVELOPMENT FINANCE. ISSN 1879-9337, 2018, vol. 8, no. 2, pp. 96-105., Registrované v: WOS, SCOPUS
    [3] AĞIRMAN, Öğr Üyesi Ensar-BOZMA, Araş Gör Gürkan - AHMID, Alma Brook. THE VOLATILITY SPI LLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA - BEKK GARCH MODEL. In Manas Journal of Social Studies, 2018, vol. 7, no. 4, pp. 181-191. ISSN 1694-7215 . Dostupné na: http://journals.manas.edu.kg/mjsr/archives/Y2018_V07_I04/ea4c3a73158b6d4610c4de967cc6426b.pdf
    [1] SETH, Neha - SINGHANIA, Monica. Volatility in frontier markets: a Multivariate GARCH analysis. In JOURNAL OF ADVANCES IN MANAGEMENT RESEARCH. ISSN 0972-7981, 2019, vol. 16, no. 3, pp. 294-312., Registrované v: WOS, SCOPUS
    [3] AAWAAR, Godfred - DOMEHER, Daniel - NSIAH, Charles. Evolving Co-Movements of Africa’s Stock Markets: Evidence from DCC-GARCH Analysis. In International Research Journal of Finance and Economics, 2018, no. 170, pp. 110-131. ISSN 1450-2887. Dostupné na: http://www.internationalresearchjournaloffinanceandeconomics.com/ISSUES/IRJFE_170_09.pdf
    [1] NITOI, Mihai - POCHEA, Maria Miruna. Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. In ECONOMIC MODELLING. ISSN 0264-9993, 2020, vol. 86, pp. 133-147., Registrované v: WOS, SCOPUS
    [1] SETH, Neha - PANDA, Laxmidhar. Time-varying Correlation Between Indian Equity Market and Selected Asian and US Stock Markets. In GLOBAL BUSINESS REVIEW. ISSN 0972-1509, 2019., Registrované v: WOS, SCOPUS
    [1] AHMED, Walid M. A. Corruption and equity market performance: International comparative evidence. In PACIFIC-BASIN FINANCE JOURNAL. ISSN 0927-538X, 2020, vol. 60., Registrované v: WOS, SCOPUS
    [3] SINGH, Vipul Kumar -KUMAR, Pawan - NISHANT, Shreyank. Does the Level of Volatility Spillover Connectedness of Emerging Economies have improved?. 422 p. Dostupné na: http://www.econmodels.com/upload7282/126b775d365f6f3cba3318af479965bf.docx
    [1] SETH, Neha - PANDA, Laxmidhar. Volatility interdependency: A quantile regression analysis in Asian stock markets. In Afro-Asian Journal of Finance and Accounting. ISSN 17516447, 2020-01-01, 10, 3, pp. 409-429. Dostupné na: https://doi.org/10.1504/AAJFA.2020.108247., Registrované v: SCOPUS
    [3] MAYORGA, Jorge Mario Salcedo. Análisis de la Interdependencia y el Contagio Financiero entre China y 10 Economías en tiempos de COVID-19 Analysis of Interdependence and Financial Contagion between China and 10 Economies in times of COVID-19. In XX USP International Conference in Accounting, 2020, pp. 1-15. Dostupné na: https://docplayer.es/197069621-Analisis-de-la-interdependencia-y-el-contagio-financiero-entre-china-y-10-economias-en.html
    [3] MAYORGA, Jorge Mario Salcedo. Análisis de los mercados financieros durante la guerra comercial entre China y Estados Unidos. In Revista Científica Profundidad Construyendo Futuro, 2020, ISSN 2422-1783, vol. 12, no. 12, pp. Dostupné na: https://revistas.ufps.edu.co/index.php/profundidad/article/view/2514
    [3] PAVTO, Velip Suraj - RAJU, Guntur Anjana. DOES VOLATILITY TRAVERSE BETWEEN EMERGING AND FRONTIER STOCK MARKETS OF ASIA? In Investment Management and Financial Innovations, 2020, vol. 17, no. 3, pp. 82-96. Dostupné na: https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/13944/IMFI_2020_03_Pavto.pdf
    [1] CARDOSO, Guilherme - RIBEIRO, Karem - CARVALHO, Luciano. Volatility and dependence structures of Latin American stock markets. In MANAGERIAL FINANCE. ISSN 0307-4358, 2021, vol. 47, no. 4, pp. 441-465. Dostupné na: https://doi.org/10.1108/MF-02-2020-0051., Registrované v: WOS, SCOPUS
    [1] CARDOSO, Guilherme - RIBEIRO, Karem - CARVALHO, Luciano. Volatility and dependence structures of Latin American stock markets. In Managerial Finance. ISSN 03074358, 2021-03-16, 47, 4, pp. 441-465. Dostupné na: https://doi.org/10.1108/MF-02-2020-0051., Registrované v: SCOPUS, WOS
    [3] CARDOSO, Guilherme Freitas. Análise da volatilidade e efeito contágio dos países da América Latina. In Revista Ibero-Americana de Estratégia, 2020, ISSN 2176-0756, vol. 19, no. 4, pp. 41-57. Dostupné na: https://periodicos.uninove.br/riae/article/view/14457
    [1] MARTENS, Wil - YAPA, Prem - SAFARI, Maryam. Earnings management in frontier market: Do institutional settings matter? In Economies, 2021-03-01, 9, 1. Dostupné na: https://doi.org/10.3390/economies9010017., Registrované v: SCOPUS
    [3] SUCHÁČEK, Jan et al. ECONOMETRIC ANALYSIS OF INTEGRATION OF SELECTED NEW EU MEMBER CEE STOCK MARKETS WITH GLOBAL STOCK MARKET AND EUROZONE: IMPACT OF GLOBAL FINANCIAL CRISIS. In Amfiteatru Economic, 2021, ISSN 1582-9146, vol. 23, no. 58, pp. 824-842. Dostupné na: https://www.amfiteatrueconomic.ro/temp/Article_3042.pdf
    [1] SACHDEVA, Timcy - BHULLAR, Pritpal Singh - GUPTA, Pradeep Kumar. Cointegration of Indian stock market with global stock markets: An empirical analysis applying vector error correction model. In SCMS Journal of Indian Management. ISSN 09733167, 2021-07-01, 18, 3, pp. 5-15., Registrované v: SCOPUS
    [1] AL-NASSAR, Nassar S. - MAKRAM, Beljid. The COVID-19 Outbreak and Risk–Return Spillovers between Main and SME Stock Markets in the MENA Region. In International Journal of Financial Studies, 2022-03-01, 10, 1. Dostupné na: https://doi.org/10.3390/IJFS10010006., Registrované v: SCOPUS
    [1] MCIVER, Ron P. - KANG, Sang Hoon. Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets. In Research in International Business and Finance. ISSN 02755319, 2020-12-01, 54. Dostupné na: https://doi.org/10.1016/j.ribaf.2020.101276., Registrované v: SCOPUS, WOS
    YOUSAF, Imran - BELJID, Makram - CHAIBI, Anis - AJLOUNI, Ahmed AL. Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis. In Pacific Basin Finance Journal, 2022-06-01, 73, pp. ISSN 0927538X. Dostupné na: https://doi.org/10.1016/j.pacfin.2022.101764., Registrované v: SCOPUS, WOS
    AGNIHOTRI, Anurag. Financial Integration Of Indian And Developed Markets: A Dcc Garch Analysis. In Academia, 2022, pp. [1].
    LO, Gaye-Del - MARCELIN, Isaac - BASSENE, Theophile. Global Uncertainty, Connectedness and Risk Spillovers Among Sub-Saharan Africa and MENA Equity Markets. In S&P Global Market Intelligence Research Paper Series, 2023, pp. 1-41. Dostupné na: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4577583
Počet záznamov: 1  

  Tieto stránky využívajú súbory cookies, ktoré uľahčujú ich prezeranie. Ďalšie informácie o tom ako používame cookies.