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Asymmetric and dynamic links in GCC Sukuk-stocks: Implications for portfolio management before and during the COVID-19 pandemic
16 references·1 citing·38 second hop
Asymmetric and dynamic links in GCC Sukuk-stocks: Implications for portfolio management before and during the COVID-19 pandemic (2022)Asymmetric and dynamic links in GCC Sukuk…Financial contagion during COVID–19 crisis (2020)Financial contagion during CO…Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors (2014)Dynamic dependence of the glo…Sukuk vs. conventional bonds: A stock market perspective (2013)Sukuk vs. conventional bonds:…How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests (2013)How strong are the causal rel…Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis (2013)Co-movements of GCC emerging …Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility (2009)Structure and Asymptotic Theo…Flights and contagion—An empirical analysis of stock–bond correlations (2008)Flights and contagion—An empi…On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)On the application of the dyn…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Evolution of international stock and bond market integration: Influence of the European Monetary Union (2005)Evolution of international st…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University. (1998)Information and volatility li…What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)What Moves the Stock and Bond…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A multi-dimensional connectedness and spillover between green bond and Islamic banking equity: Evidence from country level analysis (2024)A multi-dimensional connected…Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Volatility transmission between oil prices and equity sector returns (2009)Asset market linkages: Evidence from financial, commodity and real estate assets (2010)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Dynamic Conditional Correlation (2002)Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models? (2012)The hedging effect of green bonds on carbon market risk (2020)Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021)Testing for a Unit Root in Time Series Regression (1988)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Dividend yields and expected stock returns (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing (2004)What does futures market interest tell us about the macroeconomy and asset prices? (2012)Speculative Asset Prices (2014)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)COVID-19 and the march 2020 stock market crash. Evidence from S&P1500 (2020)Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Econometric Analysis of Cross Section and Panel Data (2001)Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold (2009)Flights to Safety (2019)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2020Financial contagion during COVID–19 crisis937 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns452 cited
  • 1998Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.435 cited
  • 2008Flights and contagion—An empirical analysis of stock–bond correlations335 cited
  • 2007On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios294 cited
  • 2013

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How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests
249 cited
  • 2013Sukuk vs. conventional bonds: A stock market perspective243 cited
  • 2013Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis239 cited
  • 2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility218 cited
  • 2005Evolution of international stock and bond market integration: Influence of the European Monetary Union213 cited
  • 2014Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors209 cited
  • Cited by

    • 2024A multi-dimensional connectedness and spillover between green bond and Islamic banking equity: Evidence from country level analysis30 cited