Journal ArticleDOI
Asymmetric volatility connectedness between Islamic stock and commodity markets
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TLDR
In this article, the authors examined the asymmetric volatility connectedness among the Dow Jones Islamic Market Index (DJIM) and the Brent crude oil, gold, and silver markets.About:
This article is published in Global Finance Journal.The article was published on 2021-08-01. It has received 14 citations till now. The article focuses on the topics: Brent Crude & Volatility (finance).read more
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Dynamic connectedness and spillovers between Islamic and conventional stock markets: time- and frequency-domain approach in COVID-19 era
TL;DR: In this article , the authors investigated the dynamic connectedness and spillovers between Islamic and conventional stock markets to reveal the time and frequency-domain dynamics of the two asset classes under various market conditions.
Journal ArticleDOI
Safe flight to which haven when Russia invades Ukraine? A 48-hour story
TL;DR: In this article , the authors examined the flight-to-safety phenomenon from the Russian ruble to other safe-haven assets at the onset of the Russian invasion of Ukraine on 24 February 2022.
Journal ArticleDOI
Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model
Chien-Chiang Lee,Hsiang-Tai Lee +1 more
TL;DR: In this article , a multi-chain regime-switching spillover GARCH (MCRSSG) model is proposed for optimal portfolio diversification, which specifies the within-regime time-varying correlation via a multichannel statedependent spillover factor and quantifies the magnitude of volatility spillovers under different regime combinations.
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Interdependence structure of global commodity classes and African equity markets: A vector wavelet coherence analysis
Ahmed Bossman,Samuel Kwaku Agyei +1 more
TL;DR: In this article , the authors examined the multiple, quadruple, and n-dimensional interdependencies between the returns on global commodities and African equity markets using vector wavelet coherence approach.
References
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Journal ArticleDOI
Expected stock returns and volatility
TL;DR: In this article, the authors examined the relation between stock returns and stock market volatility and found that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns.
Journal ArticleDOI
No Contagion, Only Interdependence: Measuring Stock Market Comovements
TL;DR: The authors showed that correlation coefficients are conditional on market volatility, and that there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash.
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Answering the skeptics: yes, standard volatility models do provide accurate forecasts*
TL;DR: In this article, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models and it has been shown that volatility models produce strikingly accurate inter-daily forecasts for the latent volatility factor that would be of interest in most financial applications.
Posted Content
No Contagion, Only Interdependence: Measuring Stock Market Co-Movements
TL;DR: In this article, the authors examined stock market co-movements and applied these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash.
Journal ArticleDOI
Better to give than to receive: Predictive directional measurement of volatility spillovers
TL;DR: This paper used a generalized vector autoregressive framework to characterize daily volatility spillovers across US stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010, and showed that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillover were quite limited until the global financial crisis, which began in 2007.
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