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Keywords: DCC-GARCH
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Journal Articles
Tracing contagion between bitcoin and traditional markets
Available to Purchase
Journal:
Journal of Economic Studies
Journal of Economic Studies 1–17.
Published: 31 December 2025
...Gregory Rapos; Stilianos Fountas Purpose We investigate the presence of contagion between Bitcoin and four traditional assets (stocks, bonds, gold and the US dollar exchange rate) over the period 2015–2024. Design/methodology/approach We implement a framework that combines the DCC-GARCH...
Journal Articles
From pandemic to war: dynamics of volatility spillover between BRICS exchange and stock markets
Available to Purchase
Journal:
Journal of Economic Studies
Journal of Economic Studies (2024) 51 (3): 528–545.
Published: 12 July 2023
... correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH)” approach of Gabauer (2020). The volatility of the markets is calculated following the approach of Parkinson (1980). The sample dataset comprises the daily volatility of the stock and exchange markets for 35 months, from...
Journal Articles
An investigation of price discovery and volatility spillovers in India’s foreign exchange market
Available to Purchase
Journal:
Journal of Economic Studies
Journal of Economic Studies (2015) 42 (2): 261–284.
Published: 11 May 2015
.... Wasim Ahmad can be contacted at: ahmadwasimdu@gmail.com © Emerald Group Publishing Limited 2015 DCC-GARCH BEKK-GARCH Currency futures market Directional spillovers Price discovery Volatility spillovers Over the past years, several studies have examined the special role...
