Open Access
| Issue |
E3S Web Conf.
Volume 403, 2023
XII International Scientific and Practical Forum “Environmentally Sustainable Cities and Settlements: Problems and Solutions” (ESCP-2023)
|
|
|---|---|---|
| Article Number | 08016 | |
| Number of page(s) | 8 | |
| Section | Development of Sustainable Cities: Economic, Social and Humanitarian Aspects | |
| DOI | https://doi.org/10.1051/e3sconf/202340308016 | |
| Published online | 25 July 2023 | |
- Diebold F.X., Yilmaz K. On the network topology of variance decompositions: measuring the connectedness of financial firms. Journal of econometrics, 04, 119–134 (2014). [CrossRef] [Google Scholar]
- Kang, S.H., Debasish, M., Saumya, R.D., Robert, B.. Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets. Pacific-Basin Finance Journal. No (10)58 (2019). [Google Scholar]
- Mensi, W., Hammoudeh, S., Nguye, D.K., Kang, S.H. Global financial crisis and spillover effects among the U.S. and BRICS stock markets. International Review of Economics & Finance, vol. (03)42, 257–276 (2016). [CrossRef] [Google Scholar]
- Syriopoulos, T., Makram, B., Boubaker, A. Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis. International Review of Financial Analysis, vol. (05)39, 7–18 (2015). [CrossRef] [Google Scholar]
- Ghosh, A. Hedging with stock index futures: Estimation and forecasting with error correction model. Journal of Futures Markets, vol 13(7), p. 743–752 (1993). [CrossRef] [Google Scholar]
- Engle, R. Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, vol. 20, 339–350 (2012). [Google Scholar]
- Diebold, F.X., Yilmaz, K. Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, vol. 119, 158–171 (2009). [CrossRef] [Google Scholar]
- Diebold, F.X., Yilmaz, K. Better to give than to receive: predictive directional measurement of volatility spillovers. International Journal of Forecasting, vol. 28(1), 57–66 (2012). [CrossRef] [Google Scholar]
- Vlasova, E. Volatility spillover between the Russia-India-China triad and the United States: A multivariate generalized autoregressive conditional heteroscedasticity analysis. Journal of the New Economic Association. No 2(54). - P. 111–128. - DOI: 10.31737/2221-2264-2022-54-2-6. - EDN KLMGAM (2022). [CrossRef] [Google Scholar]
- Davtyan, T. Hedging efficiency: regime shifts approach / T. Davtyan, A. Arakelyan // Messenger of Armenian State University of Economics. No 2. - P. 46–57. - EDN QFUAUZ. (2019). [Google Scholar]
- Bedin, A. F. A markov switching vecm model for russian real gdp, real exchange rate and oil prices. International Journal of Energy Economics and Policy. Vol. 11. - No 2. - P. 402–412. - DOI: 10.32479/ijeep.10667. - EDN UVXHZM. (2021). [CrossRef] [Google Scholar]
- Diebold, F.X., Yilmaz, K. Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, vol. 119, 158–171. (2009). [CrossRef] [Google Scholar]
- Diebold, F.X., Yilmaz, K. Better to give than to receive: predictive directional measurement of volatility spillovers. International Journal of Forecasting, vol. 28(1), 57–66. (2012). [CrossRef] [Google Scholar]
- Okulov, V.L. Selective hedging of price risks by companies. Vestnik (Herald) of Saint Petersburg University. Management. No 3. C. 3–20. (2015). [Google Scholar]
- Masko, L.V. Interdependence of investment attractiveness of the organization and hedging. Bulletin of Polotsk State University. Series D: Economic and legal sciences. No 5. C. 39–45. (2018). [Google Scholar]
- Pankov, P.I. Hedging of market risks in the industries of the real sector of the Russian Federation. Economy. Finance. Society. No 3. C. 4–17. DOI: 10.24412/2782-4845-2022-3-4-17 (2022). [Google Scholar]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.