Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2019.02.016
Abstract: This paper explores the dynamic conditional correlation and volatility linkage between Islamic indexes and oil for BRIC countries. Correlations between these assets increase during the global financial crisis for India and China but not for… read more here.
Keywords: volatility spillover; conditional correlation; volatility; oil ... See more keywords
Dynamic conditional relationships between developed and emerging markets
Sign Up to like & getrecommendations! Published in 2018 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.05.007
Abstract: Abstract This study examines the dynamic conditional correlations between the US and Korean financial markets and identifies the determinants of those correlations using the VAR-DCC-MGARCH model. We find that the Global Financial Crisis (GFC) affects… read more here.
Keywords: conditional relationships; dynamic conditional; relationships developed; market ... See more keywords
Assessing the impact of COVID-19 on major industries in Japan: A dynamic conditional correlation approach
Sign Up to like & getrecommendations! Published in 2021 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2021.101488
Abstract: This study assesses the impact of the novel coronavirus disease (COVID-19) cases on the Japanese stock market. As of October 30, 2020, the cumulative number of cases in Japan has reached over one hundred thousand.… read more here.
Keywords: impact covid; assessing impact; covid; conditional correlation ... See more keywords
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
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DOI: 10.1080/07474938.2021.1889208
Abstract: Abstract The estimation of a large covariance matrix is challenging when the dimension p is large relative to the sample size n. Common approaches to deal with the challenge have been based on thresholding or… read more here.
Keywords: high dimensional; forecast combination; conditional precision; precision ... See more keywords
Empirical Evidence of Dynamic Conditional Correlation Between Asian Stock Markets and US Stock Indexes During COVID-19 Pandemic
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Asian Finance, Economics and Business"
DOI: 10.13106/jafeb.2021.vol8.no9.0143
Abstract: This study aims to explore the dynamic conditional correlation (DCC) between ten Asian stock indexes, the US stock index, and Bitcoin by using the dynamic conditional correlation model. The time span of the daily data… read more here.
Keywords: asian stock; correlation; conditional correlation; covid pandemic ... See more keywords
Trend analysis of global stock market linkage based on a dynamic conditional correlation network
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Business Economics and Management"
DOI: 10.3846/16111699.2017.1341849
Abstract: The paper analyses the trend of global stock market linkages via daily data of 51 stock indices spanning the period 22 July 2005 to 30 June 2016 which covers four regions: America, Europe, Asia Pacific… read more here.
Keywords: stock market; global stock; stock; dynamic conditional ... See more keywords