1. Multiple time-scales analyses of nickel futures and spot markets volatility spillovers effects. (2024). Luo, Yimin ; Li, Mengya ; Hong, Shuifeng.
   In: Mineral Economics.
   RePEc:spr:minecn:v:37:y:2024:i:1:d:10.1007_s13563-023-00389-9.

   Full description at Econpapers || Download paper

2. Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH. (2024). Rahman, Mohammad Mafizur ; Haneklaus, Nils ; Li, Binlin.
   In: Financial Innovation.
   RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00607-x.

   Full description at Econpapers || Download paper

3. Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases. (2024). Yousaf, Imran ; Arfaoui, Nadia ; Gubareva, Mariya.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531923003306.

   Full description at Econpapers || Download paper

4. Interdependence and spillovers between big oil companies and regional and global energy equity markets. (2024). Yoon, Seong-Min ; Arreola Hernandez, Jose ; Hanif, Waqas ; Kang, Sang Hoon ; Boako, Gideon.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:92:y:2024:i:c:p:451-469.

   Full description at Econpapers || Download paper

5. Switching spillovers and connectedness between Sukuk and international Islamic stock markets. (2024). Yoon, Seong-Min ; Lee, Yeonjeong ; Mensi, Walid ; Al-Kharusi, Sami.
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000696.

   Full description at Econpapers || Download paper

6. Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers. (2024). Hanif, Waqas ; Hadhri, Sinda ; el Khoury, Rim.
   In: Journal of Commodity Markets.
   RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000230.

   Full description at Econpapers || Download paper

7. COVID-19 and time-frequency spillovers between oil and sectoral stocks and portfolio implications: Evidence from China and US economies. (2024). Vo, Xuan Vinh ; Kang, Sang Hoon ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed.
   In: International Economics.
   RePEc:eee:inteco:v:180:y:2024:i:c:s2110701724000775.

   Full description at Econpapers || Download paper

8. To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk. (2024). Kliber, Agata ; Just, Magorzata ; Echaust, Krzysztof.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002242.

   Full description at Econpapers || Download paper

9. Interest rate risk of Chinese commercial banks based on the GARCH-EVT model. (2023). Shan, Zhangming ; Chen, Xin ; Boamah, Valentina ; Tang, Decai ; Zhou, Biao.
   In: Palgrave Communications.
   RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02321-6.

   Full description at Econpapers || Download paper

10. Dependence Structure and Time–Frequency Impact of Exchange Rates on Crude Oil and Stock Markets of BRICS Countries: Markov-Switching-Based Wavelet Analysis. (2023). Muteba Mwamba, John Weirstrass ; Mudiangombe, Benjamin Mudiangombe.
    In: JRFM.
    RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:319-:d:1185764.

    Full description at Econpapers || Download paper

11. Risk spillover from international financial markets and Chinas macro-economy: A MIDAS-CoVaR-QR model. (2023). Yang, Lu ; Hamori, Shigeyuki ; Cui, Xue ; Cai, Xiaojing.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:84:y:2023:i:c:p:55-69.

    Full description at Econpapers || Download paper

12. Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches. (2023). Vo, Xuan Vinh ; Mensi, Walid ; Ur, Mobeen ; Al-Yahyaee, Khamis Hamed.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006043.

    Full description at Econpapers || Download paper

13. The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei.
    In: Energy.
    RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395.

    Full description at Econpapers || Download paper

14. Higher-order moment nexus between the US Dollar, crude oil, gold, and bitcoin. (2023). Li, Yuxue ; Zhang, YI ; Zhou, Long ; Liu, Fang.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:68:y:2023:i:c:s1062940823001213.

    Full description at Econpapers || Download paper

15. Quantile spillovers and connectedness analysis between oil and African stock markets. (2023). Vo, Xuan Vinh ; Mensi, Walid ; Kang, Sang Hoon.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:78:y:2023:i:c:p:60-83.

    Full description at Econpapers || Download paper

16. Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets. (2023). Jiang, Zhuhua ; Vo, Xuan Vinh ; Mensi, Walid ; Yoon, Seongmin.
    In: Australian Economic Papers.
    RePEc:bla:ausecp:v:62:y:2023:i:4:p:597-615.

    Full description at Econpapers || Download paper

17. Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks. (2022). ben Saad, Mouna ; Boubaker, Heni ; Saidane, Bassem.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00348-3.

    Full description at Econpapers || Download paper

18. Covid-19 and oil and gold price volatilities: Evidence from China market. (2022). Cong, Phan The ; Quynh, Nguyen Ngoc ; Ageli, Mohammed Moosa ; Yen-Ku, Kuo ; Xiaozhong, Cui ; Maneengam, Apichit ; Wisetsri, Worakamol.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004676.

    Full description at Econpapers || Download paper

19. Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis. (2022). Vo, Xuan Vinh ; Mensi, Walid ; Kang, Sang Hoon ; Alomari, Mohammad ; al Rababa, Abdel Razzaq.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004196.

    Full description at Econpapers || Download paper

20. The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters. (2022). Ali, Syed Riaz Mahmood ; Mensi, Walid ; Mahmood, Syed Riaz ; Kang, Sang Hoon ; Rahman, Mishkatur ; Anik, Kaysul Islam.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:73:y:2022:i:c:p:345-372.

    Full description at Econpapers || Download paper

21. Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula. (2021). Muteba Mwamba, John Weirstrass ; Mwambi, Sutene Mwambetania.
    In: IJFS.
    RePEc:gam:jijfss:v:9:y:2021:i:2:p:30-:d:566104.

    Full description at Econpapers || Download paper

22. Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic. (2021). Ugolini, Andrea ; Reboredo, Juan ; Mensi, Walid.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002294.

    Full description at Econpapers || Download paper

23. Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries. (2021). Vo, Xuan Vinh ; Mensi, Walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001657.

    Full description at Econpapers || Download paper

1. Aielli, G.P. Dynamic conditional correlation: On properties and estimation. 2013 Journal of Business & Economic Statistics. 31 282-299

2. Ajmi, A.N. ; El-montasser, G. ; Hammoudeh, S. ; Nguyen, D.K. Oil prices and MENA stock markets: New evidence from nonlinear and asymmetric causalities during and after the crisis period. 2014 Applied Economics. 46 2167-2177

3. Alexakis, P.D. ; Kenourgios, D. ; Dimitriou, D. On emerging stock market contagion: The Baltic region. 2016 Research in International Business and Finance. 36 312-321

4. Aloui, C., & ben Hamida, H. (2014). Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?. The North American journal of economics and finance, 29, 349-380.

5. Aloui, Chaker ; Mabrouk, Samir Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models. 2010 Energy Policy. 38 2326-2339

6. Arouri, Mohamed El Hedi ; Lahiani, Amine ; Nguyen, Duc Khuong Return and volatility transmission between world oil prices and stock markets of the GCC countries. 2011 Economic Modelling. 28 1815-1825

7. Balcilar, Mehmet ; Gupta, Rangan ; Miller, Stephen M. Regime switching model of US crude oil and stock market prices: 1859 to 2013. 2015 Energy Economics. 49 317-327

8. Balcilar, Mehmet ; Ozdemir, Zeynel Abidin The causal nexus between oil prices and equity market in the US: A regime switching model. 2013 Energy Economics. 39 271-282

9. Basher, Syed Abul ; Haug, Alfred A. ; Sadorsky, Perry The impact of oil-market shocks on stock returns in major oil-exporting countries. 2018 Journal of International Money and Finance. 86 264-280

10. Basher, Syed Abul ; Sadorsky, Perry Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. 2016 Energy Economics. 54 235-247

11. Bildirici, Melike E. ; Badur, Mesut M. The effects of oil and gasoline prices on confidence and stock return of the energy companies for Turkey and the US. 2019 Energy. 173 1234-1241

12. Bildirici, Melike E. ; Gökmenoğlu, Seyit M. Environmental pollution, hydropower energy consumption and economic growth: Evidence from G7 countries. 2017 Renewable and Sustainable Energy Reviews. 75 68-85

13. Billio, Monica ; Caporin, Massimiliano Multivariate markov switching dynamic conditional correlation garch representations for contagion analysis. 2005 Statal Methods and Applications. 14 145-161

14. Cakan, Esin ; Demirer, Rıza ; Gupta, Rangan ; Marfatia, Hardik A. Oil speculation and herding behavior in emerging stock markets. 2019 Journal of Economics and Finance. 43 44-56

15. Chang, Kuang-Liang ; Yu, Shih-Ti Does crude oil price play an important role in explaining stock return behavior?. 2013 Energy Economics. 39 159-168

16. Cheong, Chin Wen Modeling and forecasting crude oil markets using ARCH-type models. 2009 Energy policy. 37 2346-2355

17. Chkili, Walid ; Aloui, Chaker ; Nguyen, Duc Khuong Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?. 2014 Journal of International Financial Markets, Institutions and Money. 33 354-366

18. Domanski, D., & Heath, A. (2007). Financial investors and commodity markets. BIS quarterly review, March.

19. Du, Limin ; He, Yanan Extreme risk spillovers between crude oil and stock markets. 2015 Energy Economics. 51 455-465

20. Engle, Robert Dynamic conditional correlation. 2002 Journal of Business & Economic Stats. 20 339-350
    Paper not yet in RePEc: Add citation now
    

21. Fallahi, Firouz Causal relationship between energy consumption (EC) and GDP: A Markov-switching (MS) causality. 2011 Energy. 36 4165-4170

22. Finta, Marinela Adriana ; Frijns, Bart ; Tourani-Rad, Alireza Volatility spillovers among oil and stock markets in the US and Saudi Arabia. 2019 Applied Economics. 51 329-345

23. Gajardo, Gabriel ; Kristjanpoller, Werner Asymmetric multifractal cross-correlations and time varying features between Latin-American stock market indices and crude oil market. 2017 Chaos, Solitons & Fractals. 104 121-128

24. Hamilton, J. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. 1989 Econometrica. 57 357-384

25. Jammazi, Rania ; Nguyen, Duc Khuong Responses of international stock markets to oil price surges: A regime-switching perspective. 2015 Applied Economics. 47 4408-4422

26. Ji, Qiang ; Marfatia, Hardik ; Gupta, Rangan Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis. 2018 The North American Journal of Economics and Finance. 46 103-113

27. Kang, Sang Hoon ; Kang, Sang-Mok ; Yoon, Seong-Min Forecasting volatility of crude oil markets. 2009 Energy Economics. 31 119-125

28. Kang, Sang Hoon ; McIver, Ron ; Yoon, Seong-Min Modeling time-varying correlations in volatility between BRICS and commodity markets. 2016 Emerging Markets Finance and Trade. 52 1698-1723

29. Kellard, Neil M. ; Jiang, Ying ; Wohar, Mark Spurious long memory, uncommon breaks and the implied–realized volatility puzzle. 2015 Journal of International Money and Finance. 56 36-54

30. Khalfaoui, Rabeh ; Sarwar, Suleman ; Tiwari, Aviral Kumar Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management. 2019 Resources Policy. 62 22-32

31. Kroner, K.F. ; Sultan, J. Time-varying distributions and dynamic hedging with foreign currency futures. 1993 Journal of financial and quantitative analysis. 28 535-551

32. Kroner, Kenneth F. ; Ng, Victor K. Modeling asymmetric comovements of asset returns. 1998 The review of financial studies. 11 817-844

33. Ku, Yuan-Hung Hsu ; Chen, Ho-Chyuan ; Chen, Kuang-Hua On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios. 2007 Applied Economics Letters. 14 503-509

34. Lee, Hsiang-Tai ; Yoder, Jonathan Optimal hedging with a regime-switching time-varying correlation GARCH model. 2007 Journal of Futures Markets: Futures, Options, and Other Derivative Products. 27 495-516

35. Lee, Hsiang-Tai ; Yoder, Jonathan K. A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios. 2007 Applied Economics. 39 1253-1265

36. Liao, Shu-Yi ; Chen, Sheng-Tung ; Huang, Mao-Lung Will the oil price change damage the stock market in a bull market? A re-examination of their conditional relationships. 2016 Empirical Economics. 50 1135-1169

37. Lu, Fengbin ; Qiao, Han ; Wang, Shouyang ; Lai, Kin Keung ; Li, Yuze Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets. 2017 Environmental research. 152 351-359
    Paper not yet in RePEc: Add citation now
    

38. Marfatia, Hardik A. A fresh look at integration of risks in the international stock markets: A wavelet approach. 2017 Review of Financial Economics. 34 33-49

39. Mensi, Walid ; Hammoudeh, Shawkat ; Al-Jarrah, Idries Mohammad Wanas ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon Risk spillovers and hedging effectiveness between major commodities, and Islamic and conventional GCC banks. 2019 Journal of International Financial Markets, Institutions and Money. 60 68-88

40. Mensi, Walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia. 2015 Economic Modelling. 51 340-358

41. Naifar, Nader ; Al Dohaiman, Mohammed Saleh Nonlinear analysis among crude oil prices, stock markets' return and macroeconomic variables. 2013 International Review of Economics & Finance. 27 416-431

42. Ozdemir, Zeynel Abidin ; Cakan, Esin Non-linear dynamic linkages in the international stock markets. 2007 Physica A: Statistical Mechanics and its Applications. 377 173-180

43. Pan, Zhiyuan ; Wang, Yudong ; Liu, Li The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach. 2016 Energy Economics. 56 453-463

44. Park, Jungwook ; Ratti, Ronald A. Oil price shocks and stock markets in the US and 13 European countries. 2008 Energy economics. 30 2587-2608

45. Psaradakis, Zacharias ; Ravn, Morten O. ; Sola, Martin Markov switching causality and the money–output relationship. 2005 Journal of Applied Econometrics. 20 665-683
    Paper not yet in RePEc: Add citation now
    

46. Roubaud, David ; Arouri, Mohamed Oil prices, exchange rates and stock markets under uncertainty and regime-switching. 2018 Finance Research Letters. 27 28-33

47. Sadorsky, Perry Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies. 2012 Energy Economics. 34 248-255

48. Sadorsky, Perry Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat. 2014 Energy Economics. 43 72-81

49. Shahzad, Syed Jawad Hussain ; Mensi, Walid ; Hammoudeh, Shawkat ; Rehman, Mobeen Ur ; Al-Yahyaee, Khamis H. Extreme dependence and risk spillovers between oil and Islamic stock markets. 2018 Emerging Markets Review. 34 42-63

50. Silvennoinen, Annastiina ; Thorp, Susan Financialization, crisis and commodity correlation dynamics. 2013 Journal of International Financial Markets, Institutions and Money. 24 42-65

51. Tse, Y.K. The conditional heteroscedasticity of the yen–dollar exchange rate. 1998 Journal of Applied Econometrics. 13 49-55
    Paper not yet in RePEc: Add citation now
    

52. Vivian, Andrew ; Wohar, Mark E. Commodity volatility breaks. 2012 Journal of International Financial Markets, Institutions and Money. 22 395-422

53. Wang, Xunxiao ; Wu, Chongfeng Asymmetric volatility spillovers between crude oil and international financial markets. 2018 Energy Economics. 74 592-604

54. Wang, Yudong ; Liu, Li Crude oil and world stock markets: Volatility spillovers, dynamic correlations, and hedging. 2016 Empirical Economics. 50 1481-1509

55. Warne, A. (2000). Causality and regime inference in a Markov switching VAR (No. 118). Sveriges Riksbank Working Paper Series.

56. Xu, Weiju ; Ma, Feng ; Chen, Wang ; Zhang, Bing Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States. 2019 Energy Economics. 80 310-320

57. Yıldırım, Durmuş Çağrı ; Erdoğan, Seyfettin ; Çevik, Emrah İsmail Regime-Dependent Effect of Crude Oil Price on BRICS Stock Markets. 2018 Emerging Markets Finance and Trade. 54 1706-1719

58. Zhu, Huiming ; Su, Xianfang ; You, Wanhai ; Ren, Yinghua Asymmetric effects of oil price shocks on stock returns: Evidence from a two-stage Markov regime-switching approach. 2017 Applied Economics. 49 2491-2507

1. Financial cycles synchronisation in South Africa. A dynamic conditional correlation (DCC) Approach. (2024). Magubane, Khwazi.
   In: Cogent Economics & Finance.
   RePEc:taf:oaefxx:v:12:y:2024:i:1:p:2321069.

   Full description at Econpapers || Download paper

2. Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model. (2019). Civcir, İrfan ; Akkoc, Ugur.
   In: Resources Policy.
   RePEc:eee:jrpoli:v:62:y:2019:i:c:p:231-239.

   Full description at Econpapers || Download paper

3. Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). .
   In: Econometric Institute Research Papers.
   RePEc:ems:eureir:101761.

   Full description at Econpapers || Download paper

4. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). Chang, Chia-Lin ; Liu, Chia-Ping.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20160046.

   Full description at Econpapers || Download paper

5. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?. (2016). Chang, Chia-Lin ; Caporin, Massimiliano.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20160006.

   Full description at Econpapers || Download paper

6. Volatility Dependent Dynamic Equicorrelation. (2016). Silvennoinen, Annastiina ; Clements, Adam ; Scott, Ayesha.
   In: NCER Working Paper Series.
   RePEc:qut:auncer:2016_02.

   Full description at Econpapers || Download paper

7. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). Chang, Chia-Lin ; Caporin, Massimiliano.
   In: Econometric Institute Research Papers.
   RePEc:ems:eureir:79731.

   Full description at Econpapers || Download paper

8. A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds. (2016). Wang, Zihe ; Li, Johnny Siu-Hang.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:16:y:2016:i:c:p:103-111.

   Full description at Econpapers || Download paper

9. Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets. (2016). Kanamura, Takashi.
   In: Energy Economics.
   RePEc:eee:eneeco:v:54:y:2016:i:c:p:204-212.

   Full description at Econpapers || Download paper

10. Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

    Full description at Econpapers || Download paper

11. Do oil producing countries offer international diversification benefits? Evidence from GCC countries. (2016). Charfeddine, Lanouar ; Mimouni, Karim.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:263-280.

    Full description at Econpapers || Download paper

12. The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

    Full description at Econpapers || Download paper

13. Estimation and empirical performance of non-scalar dynamic conditional correlation models. (2016). Bauwens, Luc ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:17-36.

    Full description at Econpapers || Download paper

14. On the stationarity of Dynamic Conditional Correlation models. (2016). Fermanian, Jean-David ; Malongo, Hassan.
    In: Papers.
    RePEc:arx:papers:1405.6905.

    Full description at Econpapers || Download paper

15. European economic and monetary union sovereign debt markets. (2015). Sensoy, Ahmet ; Rostom, Ahmed ; Hacihasanoglu, Erk ; Åžensoy, Ahmet.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:7149.

    Full description at Econpapers || Download paper

16. Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). Chang, Chia-Lin.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150077.

    Full description at Econpapers || Download paper

17. Assessing the link between price and financial stability. (2015). Creel, Jerome ; Saraceno, Francesco ; Labondance, Fabien.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/114p6m6s0395gqm0es4g7kgv3u.

    Full description at Econpapers || Download paper

18. Joint inference on market and estimation risks in dynamic portfolios. (2015). Zakoian, Jean-Michel ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:68100.

    Full description at Econpapers || Download paper

19. Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns. (2015). Sucarrat, Genaro ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:67140.

    Full description at Econpapers || Download paper

20. Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. (2015). Peresetsky, Anatoly ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo.
    In: MPRA Paper.
    RePEc:pra:mprapa:64503.

    Full description at Econpapers || Download paper

21. Dynamic Principal Components: a New Class of Multivariate GARCH Models. (2015). Caporin, Massimiliano ; Aielli, Gian Piero.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0194.

    Full description at Econpapers || Download paper

22. Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix). (2015). Sanhaji, Bilel ; PEGUIN-FEISSOLLE, Anne.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01133751.

    Full description at Econpapers || Download paper

23. Risk Measure Inference. (2015). Smeekes, Stephan ; Quaedvlieg, Rogier ; Laurent, Sébastien ; Hurlin, Christophe.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00877279.

    Full description at Econpapers || Download paper

24. Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). Li, Yong ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:78349.

    Full description at Econpapers || Download paper

25. Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis. (2015). Maghyereh, Aktham ; Awartani, Basel ; Al Hilu, Khalil .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:56:y:2015:i:c:p:123-138.

    Full description at Econpapers || Download paper

26. Cross-sectoral interactions in Islamic equity markets. (2015). Yılmaz, Mustafa ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Åžensoy, Ahmet ; Yilmaz, Mustafa K. ; Ozturk, Kevser.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:32:y:2015:i:c:p:1-20.

    Full description at Econpapers || Download paper

27. Dynamic convergence of commodity futures: Not all types of commodities are alike. (2015). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Hacihasanoglu, Erk ; Åžensoy, Ahmet.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:44:y:2015:i:c:p:150-160.

    Full description at Econpapers || Download paper

28. Bootstrap multi-step forecasts of non-Gaussian VAR models. (2015). Ruiz, Esther ; Pascual, Lorenzo ; Fresoli, Diego.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:834-848.

    Full description at Econpapers || Download paper

29. Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market. (2015). pragidis, ioannis ; Chionis, Dionysios ; Schizas, P. ; Aielli, G. P..
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:18:y:2015:i:c:p:127-138.

    Full description at Econpapers || Download paper

30. Assessing the link between price and financial stability. (2015). Saraceno, Francesco ; Labondance, Fabien ; Hubert, Paul ; Creel, Jerome ; Blot, Christophe.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:16:y:2015:i:c:p:71-88.

    Full description at Econpapers || Download paper

31. MGARCH models: tradeoff between feasibility and flexibility. (2015). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws1516.

    Full description at Econpapers || Download paper

32. Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix). (2015). Sanhaji, Bilel ; PEGUIN-FEISSOLLE, Anne.
    In: AMSE Working Papers.
    RePEc:aim:wpaimx:1516.

    Full description at Econpapers || Download paper

33. How smooth is the stock market integration of CEE-3?. (2014). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2014-1079.

    Full description at Econpapers || Download paper

34. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). Hafner, Christian ; McAleer, and Michael .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140087.

    Full description at Econpapers || Download paper

35. Dynamic spanning trees in stock market networks: The case of Asia-Pacific. (2014). Tabak, Benjamin ; Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:414:y:2014:i:c:p:387-402.

    Full description at Econpapers || Download paper

36. Emerging markets in the global economic network: Real(ly) decoupling?. (2014). Trancoso, Tiago.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:395:y:2014:i:c:p:499-510.

    Full description at Econpapers || Download paper

37. A comparative analysis of the dynamic relationship between oil prices and exchange rates. (2014). Turhan, Ibrahim ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Åžensoy, Ahmet.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:32:y:2014:i:c:p:397-414.

    Full description at Econpapers || Download paper

38. Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey. (2014). Sobaci, Cihat ; Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:43:y:2014:i:c:p:448-457.

    Full description at Econpapers || Download paper

39. Dynamic relationship between Turkey and European countries during the global financial crisis. (2014). Soytas, Ugur ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Åžensoy, Ahmet ; Yildirim, Irem.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:290-298.

    Full description at Econpapers || Download paper

40. Modeling conditional covariance for mixed-asset portfolios. (2014). Zhou, Jian.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:242-249.

    Full description at Econpapers || Download paper

41. Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations. (2014). Galeano, Pedro ; Wiper, Michael P. ; de la Fuente, Cristina Garcia .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws141711.

    Full description at Econpapers || Download paper

42. The uncertainty of conditional returns, volatilities and correlations in DCC models. (2014). Ruiz, Esther ; Fresoli, Diego.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws140202.

    Full description at Econpapers || Download paper

43. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). Hafner, Christian.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/19.

    Full description at Econpapers || Download paper

44. Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-05.

    Full description at Econpapers || Download paper

45. Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models. (2013). Lucas, Andre ; Blasques, Francisco ; Silde, Erkki.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130097.

    Full description at Econpapers || Download paper

46. Ten Things you should know about the Dynamic Conditional Correlation Representation. (2013). Caporin, Massimiliano ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130078.

    Full description at Econpapers || Download paper

47. Ten Things you should know about DCC. (2013). Caporin, Massimiliano ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130048.

    Full description at Econpapers || Download paper

48. Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises. (2013). Jimenez-Martin, Juan ; Caporin, Massimiliano ; Gonzalez-Serrano, Lydia.
    In: MPRA Paper.
    RePEc:pra:mprapa:50940.

    Full description at Econpapers || Download paper

49. Dynamic relationship between precious metals. (2013). Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:38:y:2013:i:4:p:504-511.

    Full description at Econpapers || Download paper

50. On the Stationarity of Dynamic Conditional Correlation Models. (2013). Fermanian, Jean-David ; Malongo, Hassan.
    In: Working Papers.
    RePEc:crs:wpaper:2013-26.

    Full description at Econpapers || Download paper

Report date: 2025-09-30 07:59:08 || Missing content? Let us know