This paper analyses the impact of a newspaper-based uncertainty associated with infectious diseases (EMVID) on level, slope and curvature factors derived from term structure interest rates US covering maturities 1 year to 30 years. Results nonlinearity structural break tests indicate misspecification linear causality model point suitability applying time-varying model. A DCC-MGARCH framework is...

Due to the significant increase in novel coronavirus disease (COVID-19) cases Malaysia, this study took initiative examine impact of COVID-19 on co-movement five selected cryptocurrencies and two financial assets, namely FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) Ringgit over United States Dollar (MYRUSD). By using daily frequency data from May 2013 July 2021, Dynamic Conditiona...

The current study is aimed at examining the impact of COVID-19 on volatility stock market returns in BRICS economies known as trading partners. Due to pandemic situation all over world, it had influence working markets investors were vigilant their investment position. Since World Bank declared first confirmed case covid-19 31st December 2019, hence daily data indices each has been fetch rangin...

The main objective of this study is to analyze spillover fluctuations between inflation fluctuation and (un)employment fluctuation in relation to agriculture, industry and services sectors of Iran. In line with this, PANEL in Mean-MGARCH model has been used concerning Iran’s agriculture, industry and services sectors over the period of time from spring 2002 to winter 2016. The results show that...

This paper investigates returns and volatility transmission between SPGCE (S&P Global Clean Energy), SPGO Oil), two non-renewable energy commodities (natural gas crude oil), three products of oil distillation (heating oil, gasoline, propane). We estimate a VAR(1) asymmetric BEKK-MGARCH(1,1) using daily U.S. data from March 1, 2010, to February 25, 2020. The empirical findings reveal vast hetero...

There are diverging results in the literature on whether engaging ESG related activities increases or decreases financial and systemic risks of firms. In this study, we explore maintaining higher ratings reduces firms a stock market context. For purpose analyse risk indicators constituent stocks S&P Europe 350 for period January 2016–September 2020, which also partly covers COVID-19 period....