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Talal A. N. M. S. Alotaibi and Lucía Morales
Global stock markets experienced a dual shock in 2020 due to the impact of the global health crisis, parallel to a simultaneous shock derived from the Saudi Arabia and Russia oil price war. The dual shock fueled oil market volatility with lasting effects...
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Emmanuel Senyo Fianu
Because of the non-linearity inherent in energy commodity prices, traditional mono-scale smoothing methodologies cannot accommodate their unique properties. From this viewpoint, we propose an extended mode decomposition method useful for the time-frequen...
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John Weirstrass Muteba Mwamba and Sutene Mwambetania Mwambi
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purp...
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Hatice Erkekoglu,Aweng Peter Majok Garang,Adire Simon Deng
Pág. 268 - 281
Symmetric and asymmetric GARCH models-GARCH (1,1); PARCH(1;1); EGARCH(1,1,); TARCH(1,1) and IGARCH(1,1)- were used to examine stylized facts of daily USD/UGX return series from September 1st, 2005 to August 30th, 2018. Modeling and forecasting were perfo...
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Derick Quintino, Jessica Campoli, Heloisa Burnquist and Paulo Ferreira
Bitcoin?s evolution has attracted the attention of investors and researchers looking for a better understanding of the efficiency of cryptocurrency markets, considering their prices and volatility. The purpose of this paper is to contribute to this under...
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Tafirei Mashamba,Rabson Magweva
AbstractOrientation: The behaviour of stock market return volatility and implications thereof in Southern African Development Committee (SADC).Research purpose: The main aim of this study was to examine leverage effects and volatility persisten...
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Delson Chikobvu,Tendai Makoni
AbstractOrientation: Modelling of international tourist arrivals? volatility is vital for marketing, planning, policy formulation and investment purposes among others. Symmetric and asymmetric tourism volatility models for years 2000?2017 were fitte...
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Caroline Michere Ndei, Stephen Muchina, Kennedy Waweru
Pág. 156 - 171
This study sought to model the stock market return volatility at the Nairobi Securities Exchange (NSE) in the presence of structural breaks. Using daily NSE 20 share index for the period 04/01/2010 to 29/12/2017, the market return volat...
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David Suda and Luke Spiteri
We implement hidden Markov models (HMMs) and hidden semi-Markov models (HSMMs) on Bitcoin/US dollar (BTC/USD) with the aim of market phase detection. We make analogous comparisons to Standard and Poor?s 500 (S and P 500), a benchmark traditional stock in...
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Leandro Maciel,Rosangela Ballini
Pág. 80 - 99
Stock exchange automation, characterized by the replacement of floor trading systems by electronic trading systems, is one of the main restructuring processes observed in global capital markets in recent decades. This paper investigates the effects of au...
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