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Keywords: Volatility transmission
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance 1–29.
Published: 09 July 2026
...Rizwan Ali; Jin Xu; Mushaid Hussain Baig Purpose This study investigates the multiscale volatility transmissions and diversification opportunities among artificial intelligence ( AI ) tokens, environmental, social and governance ( ESG ) cryptocurrencies and AI equity stocks, with a focus...
Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2023) 40 (2): 334–353.
Published: 19 September 2022
...-way volatility spillover impact between the majority of the sample markets. In comparison, volatility transmission between the VIX index and the agricultural future market was significantly lower following the COVID-19 outbreak, the authors observed greater coherence at higher frequencies than...
Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2021) 38 (5): 926–945.
Published: 02 June 2021
...Hechem Ajmi; Nadia Arfaoui; Karima Saci Purpose This paper aims to investigate the volatility transmission across stocks, gold and crude oil markets before and during the novel coronavirus (COVID-19) crisis. Design/methodology/approach A multivariate vector autoregression (VAR)-Baba, Engle...
