Nothing Special   »   [go: up one dir, main page]
create a website
Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets. (2022). Gherghina, Tefan Cristian ; Gatsi, John Gartchie ; Asafo-Adjei, Emmanuel ; Boateng, Ebenezer ; Simionescu, Liliana Nicoleta.
In: Oeconomia Copernicana.
RePEc:pes:ieroec:v:13:y:2022:i:3:p:699-743.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 63

References cited by this document

Cocites: 41

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Adam, A. M. (2020). Susceptibility of stock market returns to international economic policy: evidence from effective transfer entropy of Africa with the implication for open innovation. Journal of Open Innovation: Technology, Market, and Complexity, 6(3), 71. doi: 10.3390/joitmc6030071.
    Paper not yet in RePEc: Add citation now

  2. Adam, A. M., Kyei, K., Moyo, S., Gill, R., & Gyamfi, E. N. (2022). Similarities in Southern African Development Community (SADC) exchange rate markets structure: evidence from the ensemble empirical mode decomposition. Journal of African Business, 23(2), 516–530.

  3. Agyei, S. K., Adam, A. M., Bossman, A., Asiamah, O., Owusu Junior, P., AsafoAdjei, R., & Asafo-Adjei, E. (2022). Does volatility in cryptocurrencies drive the interconnectedness between the cryptocurrencies market? Insights from wavelets. Cogent Economics & Finance, 10(1), 2061682. doi: 10.1080/23322 039.2022.2061682.

  4. An empirical study of volatility spillover worldwide. Wilmott, 2018(95), 48–59. doi: 10.1002/wilm.10675.
    Paper not yet in RePEc: Add citation now
  5. Annex Table 1. Samples of volatility indices Volatilities Codes CBOE Euro Currency Volatility EUVX CBOE Gold Volatitity GVX CBOE NASDAQ 100 Volatility NVX CBOE Crude Oil Volatility OVX CBOE Russell 2000 Volatility RVX DAX New Volatility VDAX DJIA Volatility VDJIA Dorsey Wright Developed Market Momentum and Low Volatility VDM HSI Volatility VHSI CBOE VIX VIX CAC 40 VIX VIXCAC STOXX 50 Volatility VSTOXX VSTOXX CBOE Vix Volatility_VVIX VVIX CBOE Emerging Markets Etf Volitlity VXEM CBOE Energy Sector Etf Volitlity VXES CBOE OEX Implied Volatility VXOEX Source: own calculations based on data obtained from investing.com. Table 2. Descriptive statistics Mean 95 th 5 th Std. Dev.
    Paper not yet in RePEc: Add citation now
  6. Asafo-Adjei, E., Adam, A. M., & Darkwa, P. (2021a). Can crude oil price returns drive stock returns of oil producing countries in Africa? Evidence from bivariate and multiple wavelet. Macroeconomics and Finance in Emerging Market Economies. Advance online publication. doi: 10.1080/17520843.2021.1953864.
    Paper not yet in RePEc: Add citation now
  7. Asafo-Adjei, E., Adam, A. M., Owusu Junior, P., Akorsu, P. K., & Arthur, C. L. (2022b). A CEEMDAN-based entropy approach measuring multiscale information flow between macroeconomic conditions and stock returns of BRICS. Complexity, 2022, 1–24. doi: 10.1155/2022/7871109.
    Paper not yet in RePEc: Add citation now
  8. Asafo-Adjei, E., Boateng, E., Isshaq, Z., Idun, A. A. A., Owusu Junior, P., & Adam, A. M. (2021b). Financial sector and economic growth amid external uncertainty shocks: insights into emerging economies. Plos one, 16(11), e0259303. doi: 10.1371/journal.pone.0259303.
    Paper not yet in RePEc: Add citation now

  9. Asafo-Adjei, E., Frimpong, S., Owusu Junior, P., Adam, A. M., Boateng, E., & Ofori Abosompim, R. (2022). Multi-frequency information flows between global commodities and uncertainties: evidence from COVID-19 pandemic.

  10. Asafo-Adjei, E., Owusu Junior, P., & Adam, A. M. (2021c). Information flow between global equities and cryptocurrencies: a VMD-based entropy evaluating shocks from COVID-19 pandemic. Complexity, 2021, 4753753. doi: 10.1155/2 021/4753753.
    Paper not yet in RePEc: Add citation now

  11. Badshah, I. U. (2018). Volatility spillover from the fear index to developed and emerging markets. Emerging Markets Finance and Trade, 54(1), 27–40. doi: 10.1080/1540496X.2016.1220294.

  12. Badshah, I., Bekiros, S., Lucey, B. M., & Uddin, G. S. (2018). Asymmetric linkages among the fear index and emerging market volatility indices. Emerging Markets Review, 37, 17–31. doi: 10.1016/j.ememar.2018.03.002.

  13. Balcilar, M., & Demirer, R. (2015). Effect of global shocks and volatility on herd behavior in an emerging market: evidence from Borsa Istanbul. Emerging Markets Finance and Trade, 51(1), 140–159. doi: 10.1080/1540496X.2015.1 011520.

  14. Barson, Z., Junior, P. O., Adam, A. M., & Asafo-Adjei, E. (2022). Connectedness between gold and cryptocurrencies in COVID-19 pandemic: a frequencydependent asymmetric and causality analysis. Complexity, 2022, 7648085. doi: 10.1155/2022/7648085.

  15. Beck, C, & Schögl, F. (1995). Thermodynamics of chaotic systems: an introduction. Cambridge: Cambridge University Press.
    Paper not yet in RePEc: Add citation now

  16. Boateng, E., Adam, A. M., & Owusu Junior, P. (2021). Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic. Resources policy, 74, 102389. doi: 10.101 6/j.resourpol.2021.102389.

  17. Boateng, E., Asafo-Adjei, E., Addison, A., Quaicoe, S., Yusuf, M. A., & Adam, A. M. (2022a). Interconnectedness among commodities, the real sector of Ghana and external shocks. Resources Policy, 75, 102511. doi: 10.1016/j.resourpol.20 21.102511.

  18. Boateng, E., Owusu Junior, P., Adam, A. M., Abeka Jr, M., Qabhobho, T., & Asafo -Adjei, E. (2022b). Quantifying information flows among developed and emerging equity markets. Mathematical Problems in Engineering, 2022, 2462077. doi: 10.1155/2022/2462077.
    Paper not yet in RePEc: Add citation now

  19. Bossman, A. (2021). Information flow from COVID-19 pandemic to Islamic and conventional equities: an ICEEMDAN-induced transfer entropy analysis.

  20. Bossman, A., Agyei, S. K., Owusu Junior, P., Agyei, E. A., Akorsu, P. K., MarfoYiadom, E., & Amfo-Antiri, G. (2022a). Flights-to-and-from-quality with Islamic and conventional bonds in the COVID-19 pandemic era: ICEEMDANbased transfer entropy. Complexity, 2022, 1027495. doi: 10.1155/2022/1027 495.
    Paper not yet in RePEc: Add citation now
  21. Bossman, A., Owusu Junior, P., & Tiwari, A. K. (2022b). Dynamic connectedness and spillovers between Islamic and conventional stock markets: time-and frequency -domain approach in COVID-19 era. Heliyon, 8(4), e09215. doi: 10.101 6/j.heliyon.2022.e09215.
    Paper not yet in RePEc: Add citation now

  22. Bui, T. D., & Bui, H. T. M. (2020). Threshold effect of economic openness on bank risk-taking: evidence from emerging markets. Economic Modelling, 91, 790–803. doi: 10.1016/j.econmod.2019.11.013.

  23. Bulathsinhalage, S., & Pathirawasam, C. (2017). The effect of corporate governance on firms’ capital structure of listed companies in Sri Lanka. Journal of Competitiveness, 9(2), 19–33. doi: 10.7441/joc.2017.02.02.
    Paper not yet in RePEc: Add citation now
  24. Chen, J. H., & Huang, Y. F. (2014). Long memory and structural breaks in modelling the volatility dynamics of VIX-ETFs. International Journal of Business, Economics and Law, 4(1), 54–63.
    Paper not yet in RePEc: Add citation now
  25. Ciner, C., Gurdgiev, C., & Lucey, B. M. (2010). Hedges and safe havens: an examination of stocks, bonds, oil, gold and the dollar. International Review of Financial Analysis, 29, 202–211. doi: 10.1016/j.irfa.2012.12.001.
    Paper not yet in RePEc: Add citation now

  26. Dimpfl, T., & Peter, F. J. (2014). The impact of the financial crisis on transatlantic information flows: an intraday analysis. Journal of International Financial Markets, Institutions and Money, 31, 1–13. doi: 10.1016/j.intfin.2014.03.004.

  27. Dutta, A., Nikkinen, J., & Rothovius, T. (2017). Impact of oil price uncertainty on middle east and african stock markets. Energy, 123, 189–197. doi: 10.1016/j.en ergy.2017.01.126.

  28. Dynamic interdependence of systematic risks in emerging markets economies: a recursive-based frequency-domain approach. Discrete Dynamics in Nature and Society, 2022, 1139869. doi: 10.1155/2022/1139869.
    Paper not yet in RePEc: Add citation now
  29. Emerging Markets Finance and Trade, 55(5), 1171–1183. doi: 10.1080/15 40496X.2018.1468248.
    Paper not yet in RePEc: Add citation now

  30. Espinosa-Méndez, C., & Arias, J. (2021). COVID-19 effect on herding behaviour in European capital markets. Finance Research Letters, 38, 101787. doi: 10.101 6/j.frl.2020.101787.

  31. Extreme spillovers of VIX fear index to international equity markets. Financial Markets and Portfolio Management, 33(1), 1–38. doi: 10.1007/s11408-0180323 -6.
    Paper not yet in RePEc: Add citation now
  32. Flandrin, P., Goncalves, P., & Rilling, G. (2004). Detrending and denoising with empirical mode decompositions. In 2004 12th European signal processing conference.
    Paper not yet in RePEc: Add citation now

  33. Gallegati, M. (2012). A wavelet-based approach to test for financial market contagion.

  34. Gunay, S. (2020). A new form of financial contagion: Covid-19 and stock market responses. SSRN, 3584243. doi: 10.2139/ssrn.3584243.
    Paper not yet in RePEc: Add citation now
  35. Hartley, R. V. (1928). Transmission of information 1. Bell System Technical Journal, 7(3), 535–563. doi: 10.1002/j.1538-7305.1928.tb01236.x. Hommes, C. H. (2001). Financial markets as nonlinear adaptive evolutionary systems.
    Paper not yet in RePEc: Add citation now
  36. Huang, N. E., Shen, Z., Long, S. R., Wu, M. C., Shih, H. H., Zheng, Q., Yen, N-C., Tung, C.C., & Liu, H. H. (1998). The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis.
    Paper not yet in RePEc: Add citation now
  37. Jizba, P., Kleinert, H., & Shefaat, M. (2012). Rényi’s information transfer between financial time series. Physica A: Statistical Mechanics and its Applications, 391(10), 2971–2989. doi: 10.1016/j.physa.2011.12.064.
    Paper not yet in RePEc: Add citation now
  38. Khoury, T. A., Junkunc, M., & Mingo, S. (2015). Navigating political hazard risks and legal system quality: venture capital investments in Latin America. Journal of Management, 41(3), 808–840. doi: 10.1177/0149206312453737.
    Paper not yet in RePEc: Add citation now
  39. Kullback, S., & Leibler, R. A. (1951). On information and sufficiency. Annals of Mathematical Statistics, 22(1), 79–86.
    Paper not yet in RePEc: Add citation now

  40. Lahmiri, S., & Bekiros, S. (2020). Renyi entropy and mutual information measurement of market expectations and investor fear during the COVID-19 pandemic.

  41. Lekhal, M., & El Oubani, A. (2020). Does the adaptive market hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market. Heliyon, 6(7), e04429. doi: 10.1016/j.heliyon.2020.e04429 Li, T., Qian, Z., & He, T. (2020). Short-term load forecasting with improved CEEMDAN and GWO-based multiple kernel ELM. Complexity, 2020, 1209547. doi: 10.1155/2020/1209547.
    Paper not yet in RePEc: Add citation now

  42. Lim, K. P., & Kim, J. H. (2011). Trade openness and the informational efficiency of emerging stock markets. Economic Modelling, 28(5), 2228–2238. doi: 10.10 16/j.econmod.2011.06.004.

  43. Lo, A. W. (2004). The adaptive markets hypothesis. Journal of Portfolio Management, 30(5), 15–29. doi: 10.3905/jpm.2004.442611.
    Paper not yet in RePEc: Add citation now
  44. Marschinski, R., & Kantz, H. (2002). Analysing the information flow between financial time series. European Physical Journal B-Condensed Matter and Complex Systems, 30(2), 275–281. doi: 10.1140/epjb/e2002-00379-2.
    Paper not yet in RePEc: Add citation now
  45. Müller, U. A., Dacorogna, M. M., Davé, R. D., Pictet, O. V., Olsen, R. B., & Ward, J. R. (1993). Fractals and intrinsic time: a challenge to econometricians. Unpublished manuscript, Olsen & Associates, Zürich.
    Paper not yet in RePEc: Add citation now
  46. Nyakurukwa, K. (2021). Information flow between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange: a transfer entropy approach.
    Paper not yet in RePEc: Add citation now
  47. Oeconomia Copernicana, 13(3), 699–743 717 Archer, C., Owusu Junior, P., Adam, A. M., Asafo-Adjei, E., & Baffoe, S. (2022). Asymmetric dependence between exchange rate and commodity prices in Ghana.
    Paper not yet in RePEc: Add citation now
  48. Oeconomia Copernicana, 13(3), 699–743 718 Behrendt, S., Dimpfl, T., Peter, F. J., & Zimmermann, D. J. (2019). RTransferEntropy —quantifying information flow between different time series using effective transfer entropy. SoftwareX, 10, 100265. doi: 10.1016/j.softx.2019.100265.
    Paper not yet in RePEc: Add citation now
  49. Oeconomia Copernicana, 13(3), 699–743 719 Colominas, M. A., Schlotthauer, G., & Torres, M. E. (2014). Improved complete ensemble EMD: a suitable tool for biomedical signal processing. Biomedical Signal Processing and Control, 14, 19–29. doi: 10.1016/j.bspc.2014.06.009.
    Paper not yet in RePEc: Add citation now

  50. Oeconomia Copernicana, 13(3), 699–743 720 Law, S. H., & Habibullah, M. S. (2009). The determinants of financial development: institutions, openness and financial liberalisation. South African Journal of Economics, 77(1), 45–58. doi: 10.1111/j.1813-6982.2009.01201.x. Le, T. H., Kim, J., & Lee, M. (2016). Institutional quality, trade openness, and financial sector development in Asia: an empirical investigation. Emerging Markets Finance and Trade, 52(5), 1047–1059. doi: 10.1080/1540496X.2015.1 103138.

  51. Oeconomia Copernicana, 13(3), 699–743 721 Sarwar, G. (2019). Transmission of risk between US and emerging equity markets.
    Paper not yet in RePEc: Add citation now
  52. Organizations and Markets in Emerging Economies, 12(24), 353–376. doi: 10.15388/omee.2021.12.60.
    Paper not yet in RePEc: Add citation now
  53. Owusu Junior, P., Adam, A. M., Asafo-Adjei, E., Boateng, E., Hamidu, Z., & Awotwe, E. (2021a). Time-frequency domain analysis of investor fear and expectations in stock markets of BRIC economies. Heliyon, 7(10), e08211. doi: 10.1016/j.heliyon.2021.e08211.
    Paper not yet in RePEc: Add citation now
  54. Owusu Junior, P., Frimpong, S., Adam, A. M., Agyei, S. K., Gyamfi, E. N., Agyapong, D., & Tweneboah, G. (2021b). COVID-19 as information transmitter to global equity markets: evidence from CEEMDAN-based transfer entropy approach. Mathematical Problems in Engineering, 2021, 8258778. doi: 10.115 5/2021/8258778.
    Paper not yet in RePEc: Add citation now

  55. Peng, Y., & Ng, W. L. (2012). Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. Annals of Finance, 8(1), 49–74. doi: 10.1007/s10436-011-0181-y.

  56. Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, 454(1971), 903–995. doi: 10.1098/rspa.1998. 0193.
    Paper not yet in RePEc: Add citation now

  57. Ramsey, J. B., & Lampart, C. (1998). The decomposition of economic relationships by time scale using wavelets: expenditure and income. Studies in Nonlinear Dynamics & Econometrics, 3(1), 23–42. doi: 10.2202/1558-3708.1 039.

  58. Rényi, A. (1970). Probability theory. Amsterdam: North-Holland Publ. Co.
    Paper not yet in RePEc: Add citation now
  59. Shannon, C. E. (1948). A mathematical theory of communication. Bell System Technical Journal, 27(3), 379–423. doi: 10.1002/j.1538-7305.1948.tb01338.x. Smales, L. A. (2022). Spreading the fear: the central role of CBOE VIX in global stock market uncertainty. Global Finance Journal, 51, 100679. doi: 10.1016/j. gfj.2021.100679.
    Paper not yet in RePEc: Add citation now

  60. Tissaoui, K., & Zaghdoudi, T. (2021). Dynamic connectedness between the US financial market and Euro-Asian financial markets: testing transmission of uncertainty through spatial regressions models. Quarterly Review of Economics and Finance, 81, 481–492. doi: 10.1016/j.qref.2020.10.020.

  61. Torres, M. E., Colominas, M. A., Schlotthauer, G., & Flandrin, P. (2011). A complete ensemble empirical mode decomposition with adaptive noise. In 2011 IEEE international conference on acoustics, speech and signal processing (ICASSP). IEEE, 4144–4147.
    Paper not yet in RePEc: Add citation now

  62. Valaskova, K., Kliestik, T., & Gajdosikova, D. (2021). Distinctive determinants of financial indebtedness: evidence from Slovak and Czech enterprises.

  63. Wu, Z., & Huang, N. E. (2009). Ensemble empirical mode decomposition: a noiseassisted data analysis method. Advances in Adaptive Data Analysis, 1(1), 1–41.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. EXCHANGE RATE MOVEMENT AND STOCK RETURNS IN MOST CAPITALISED ECONOMIES IN SUB-SAHARAN AFRICA. (2024). Adamson, Temitope Wasiu ; Ogunsanya, Ibukun.
    In: Ilorin Journal of Economic Policy.
    RePEc:ris:ilojep:0074.

    Full description at Econpapers || Download paper

  2. Time-frequency comovements between environmental cryptocurrency sentiment and faith-based sectoral stocks. (2024). Vo, Xuan Vinh ; Agyei, Samuel Kwaku ; Gubareva, Mariya ; Bossman, Ahmed.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:91:y:2024:i:c:p:699-719.

    Full description at Econpapers || Download paper

  3. Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic. (2024). Amewu, Godfred ; Armah, Mohammed.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:29:y:2024:i:c:s170349492400001x.

    Full description at Econpapers || Download paper

  4. Uncertainty and international fund flows: A cross-country analysis. (2024). Gurdgiev, Constantin ; Naka, Atsuyuki ; Shin, Seungho ; French, Joseph J.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:94:y:2024:i:c:s105752192400214x.

    Full description at Econpapers || Download paper

  5. Global factors and the transmission between United States and emerging stock markets. (2023). Farid, Saqib ; Naeem, Muhammad Abubakr ; Taghizadehhesary, Farhad ; Qureshi, Fiza.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3488-3510.

    Full description at Econpapers || Download paper

  6. Time?frequency dynamics between fear connectedness of stocks and alternative assets. (2023). Balli, Faruk ; Hasan, Md Iftekhar ; Agyemang, Abraham ; Naeem, Muhammad Abubakr.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:2:p:2188-2201.

    Full description at Econpapers || Download paper

  7. Higher moment connectedness of cryptocurrencies: a time-frequency approach. (2023). Seetharam, Yudhvir ; Nyakurukwa, Kingstone.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09627-w.

    Full description at Econpapers || Download paper

  8. Diversification evidence of bitcoin and gold from wavelet analysis. (2023). Zhang, Changyong ; Husain, Afzol ; Bhuiyan, Rubaiyat Ahsan.
    In: Financial Innovation.
    RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00495-1.

    Full description at Econpapers || Download paper

  9. The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach. (2023). Mandaci, Nazif ; Azimli, Asil.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723006682.

    Full description at Econpapers || Download paper

  10. Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers. (2023). Foglia, Matteo ; Xie, Chi ; Zhu, You ; Zhou, Yang ; Wang, Gang-Jin ; Gong, Jue.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:83:y:2023:i:c:s104244312300001x.

    Full description at Econpapers || Download paper

  11. Are short stocks susceptible to geopolitical shocks? Time-Frequency evidence from the Russian-Ukrainian conflict. (2023). Vo, Xuan Vinh ; Choi, Sun-Yong ; Bossman, Ahmed ; Umar, Zaghum.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005657.

    Full description at Econpapers || Download paper

  12. Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities. (2023). Teplova, Tamara ; Bossman, Ahmed ; Umar, Zaghum ; Agyei, Samuel Kwaku.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000547.

    Full description at Econpapers || Download paper

  13. Do Local and International Shocks Matter in the Interconnectedness amid Exchange Rates and Energy Commodities? Insights into BRICS Economies. (2023). Adam, Anokye M ; Qabhobho, Thobekile ; Asafo-Adjei, Emmanuel.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2023-06-70.

    Full description at Econpapers || Download paper

  14. Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities. (2023). Boateng, Ebenezer ; Asafo-Adjei, Emmanuel ; Idun, Anthony Adu-Asare ; Adam, Anokye M ; Qabhobho, Thobekile.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2023-02-30.

    Full description at Econpapers || Download paper

  15. Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS. (2023). Qabhobho, Thobekile.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2023-02-25.

    Full description at Econpapers || Download paper

  16. .

    Full description at Econpapers || Download paper

  17. .

    Full description at Econpapers || Download paper

  18. Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets. (2022). Gherghina, Tefan Cristian ; Gatsi, John Gartchie ; Asafo-Adjei, Emmanuel ; Boateng, Ebenezer ; Simionescu, Liliana Nicoleta.
    In: Oeconomia Copernicana.
    RePEc:pes:ieroec:v:13:y:2022:i:3:p:699-743.

    Full description at Econpapers || Download paper

  19. On the Macroeconomic Conditions of West African Economies to External Uncertainty Shocks. (2022). Frimpong, Siaw.
    In: Risks.
    RePEc:gam:jrisks:v:10:y:2022:i:7:p:138-:d:861275.

    Full description at Econpapers || Download paper

  20. Interdependence structure of global commodity classes and African equity markets: A vector wavelet coherence analysis. (2022). Agyei, Samuel Kwaku ; Bossman, Ahmed.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004822.

    Full description at Econpapers || Download paper

  21. Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis. (2022). Teplova, Tamara ; Umar, Zaghum ; Bossman, Ahmed.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000184.

    Full description at Econpapers || Download paper

  22. COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover. (2022). Xu, KE ; Di, Michael.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004731.

    Full description at Econpapers || Download paper

  23. .

    Full description at Econpapers || Download paper

  24. Can fiat currencies really hedge Bitcoin? Evidence from dynamic short-term perspective. (2021). Majdoub, Jihed ; Bejaoui, Azza ; ben Sassi, Salim.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-020-00314-7.

    Full description at Econpapers || Download paper

  25. How fearful are Commodities and US stocks in response to Global fear? Persistence and Cointegration analyses. (2021). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Vo, Xuan Vinh ; Adekoya, Oluwasegun B.
    In: MPRA Paper.
    RePEc:pra:mprapa:109829.

    Full description at Econpapers || Download paper

  26. Beta-Anomaly: Evidence from the Indian Equity Market. (2021). Badhani, K N ; Ali, Asgar.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:28:y:2021:i:1:d:10.1007_s10690-020-09316-2.

    Full description at Econpapers || Download paper

  27. Dynamic connectedness between the U.S. financial market and Euro-Asian financial markets: Testing transmission of uncertainty through spatial regressions models. (2021). Zaghdoudi, Taha ; Tissaoui, Kais.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:81:y:2021:i:c:p:481-492.

    Full description at Econpapers || Download paper

  28. .

    Full description at Econpapers || Download paper

  29. Can happiness predict future volatility in stock markets?. (2020). Balli, Faruk ; Naeem, Muhammad Abubakr ; Hussain, Syed Jawad ; Faruk, Balli ; Farid, Saqib.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919312292.

    Full description at Econpapers || Download paper

  30. Dynamics and determinants of spillovers across the option-implied volatilities of US equities. (2020). lucey, brian ; Bouri, Elie ; Roubaud, David.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:75:y:2020:i:c:p:257-264.

    Full description at Econpapers || Download paper

  31. Crisis transmission: Visualizing vulnerability. (2020). Volkov, Vladimir ; Islam, Raisul ; Dungey, Mardi.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19302665.

    Full description at Econpapers || Download paper

  32. The contagion effects of volatility indices across the U.S. and Europe. (2020). Huang, Tze-Chin ; Chiang, Shu-Mei ; Chen, Chun-Da.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301315.

    Full description at Econpapers || Download paper

  33. Interrelations in market fears of U.S. and European equity markets. (2020). Sarwar, Ghulam ; GhulamSarwar, .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:52:y:2020:i:c:s106294081930169x.

    Full description at Econpapers || Download paper

  34. Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166.

    Full description at Econpapers || Download paper

  35. Are alternative energies a real alternative for investors?. (2019). Miralles-Quiros, Maria Mar.
    In: Energy Economics.
    RePEc:eee:eneeco:v:78:y:2019:i:c:p:535-545.

    Full description at Econpapers || Download paper

  36. Economic complexity and sovereign risk premia. (2019). Ozmen, Utku.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-18-00975.

    Full description at Econpapers || Download paper

  37. Testing CEV stochastic volatility models using implied volatility index data. (2018). Kim, Jungmu ; Ryu, Doojin ; Park, Yuen Jung.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:499:y:2018:i:c:p:224-232.

    Full description at Econpapers || Download paper

  38. Asymmetric linkages among the fear index and emerging market volatility indices. (2018). Badshah, Ihsan ; Uddin, Gazi Salah ; Lucey, Brian M ; Bekiros, Stelios.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:37:y:2018:i:c:p:17-31.

    Full description at Econpapers || Download paper

  39. Is VIX still the investor fear gauge? Evidence for the US and BRIC markets. (2018). Resta, Marina ; Neffelli, Marco.
    In: Papers.
    RePEc:arx:papers:1806.07556.

    Full description at Econpapers || Download paper

  40. Discerning lead-lag between fear index and realized volatility. (2017). Masih, Abul ; Wahab, Fatin Farhana .
    In: MPRA Paper.
    RePEc:pra:mprapa:79433.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-18 01:47:57 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.