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Testing for contagion from oil and developed markets to emerging markets : an empirical analysis using systemic risk parameter
(Centrum Badan Socjologicznych, 2020)
This paper analyses the volatility transmission from changes in prices in oil and developed stock markets to emerging markets. We test for volatility contagion from these two factors while allowing for interaction between ...
Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
(LLC "CPC" Business Perspectives, 2021-11-24)
In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of ...