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Inzamam UI Haq, Hira Nadeem, Apichit Maneengam, Saowanee Samantreeporn, Nhan Huynh, Thasporn Kettanom and Worakamol Wisetsri
The high volatility and energy usage of rare earths have raised sustainable and financial concerns for environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare earths elements,...
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Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit...
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Deyan Radev
Pág. 407 - 420
This paper adapts and extends switching copula models to investigate whether financial contagion occurred between Western stock markets and their Central and Eastern European counterparts during the Global Financial Crisis. Our methodology focuses on tai...
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Sakthi Mahenthiran, Tom Gjerde and Berta Silva
The study examines evidence for the transmission of the US and EU financial crises via investor holdings into the Chilean stock market following two global financial crises, in 2008 and 2011. The study modified the models of Bekaert et al. (2014), and Du...
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Caner Özdurak and Veysel Ulusoy
The 2008 global financial crisis provides us with a wide range of study fields on cross-asset contagion mechanisms in the US financial markets. After a decade of the so-called subprime crisis, the impact of market news on asset volatilities increased sig...
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