This paper proposes the degree of interdependence between the prices of crude oil and
gross domestic product (GDP) of leading of countries such as Saudi Arabia and as the main …

This paper explores the relevance of asymmetry and long memory in modeling and
forecasting the conditional volatility and market risk of four widely traded commodities (crude …

This paper proposes the volatility spillover effect between stock and foreign exchange
markets in both directions in oil exporting countries-Russia and Brazil. The data sample …

In this paper we study the dynamic relationship between Islamic and conventional stock
markets. We use six Dow Jones Islamic indices and their conventional counterparts. We …

We investigate volatility models and their forecasting abilities for three types of petroleum
futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate …

Uno de los supuestos de los modelos de valoración de activos financieros es la presunción
de mercados bursátiles eficientes, en el presente trabajo se estudia la evolución de la …

In this article, we investigate the dynamic conditional correlations (DCCs) with leverage
effects and volatility spillover effects that consider time difference and long memory of …

We use univariate and multivariate GARCH-type models to investigate the properties of
conditional volatilities of stock returns and exchange rates, as well as their empirical …

In this article we derive conditions which ensure the non-negativity of the conditional
variance in the Hyperbolic GARCH (p, d, q)(HYGARCH) model of Davidson (2004). The …

El presente trabajo tiene como objetivo comprobar la eficiencia débil en los 5 principales
mercados bursátiles de Latinoamérica, usando 2 enfoques; primero se evalúa la …