The cryptocurrency market has experienced stunning growth, with value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, stablecoins. Our results demonstrate that conditional correlations are time-varying, peaking during COVID-19 pandemic sell-off March 2020, both ARCH GARCH effe...

Purpose This paper aims to study the co-movement dynamics of Islamic equity returns explain international portfolio diversification opportunities for investors having a heterogeneous stock holding period in light Brexit. Design/methodology/approach The authors use following three recent methodologies: multivariate generalised autoregressive conditional heteroskedastic-dynamic correlations, cont...

Due to global shut down of economic activities and transportation, the infrastructure sector has see a halt in operations due disruptions supply chain, impacting international investors as they became cautious their investment position. The study is aimed at modelling volatility returns India using S&P BSE Infrastructure Index during Covid-19 by applying univariate stipulations GARCH family mod...

Based on a General Dynamic Factor Model with infinite-dimensional factor space and MGARCH volatility models, we develop new estimation forecasting procedures for conditional covariance matrices in high-dimensional time series. The finite-sample performance of our approach is evaluated via Monte Carlo experiments outperforms the most alternative methods. This also used to construct minimum one-s...

Our principal objective is to implement a conditional CAPM that, in addition the global market risk, specifies level of integration, evaluates exchange rate and accounts for local risk. To investigate potential portfolio diversification foreign investors this region by examining impact financial crises on evolution national markets MENA region's integration with as well three selected developed...

Since some raw materials, semi manufactured, intermediate and capital goods in agricultural sector are imported, the exchange rate fluctuations can affect the cost price of products in this sector. Recently, we are facing considerable fluctuations in exchange rate that has an important impact on all sectors including the agriculture. As a result of an increase in import prices in agricultural r...

This study aims to investigate the dynamic conditional correlation and volatility spillover between conventional Islamic stock markets in developed emerging countries order develop better portfolio asset allocation strategies. We used both multivariate GARCH (MGARCH) multi-scales-based maximal overlap discrete wavelet transform (MODWT) approaches countries. The results show that move together l...