2 documents found, page 1 of 1
Dynamic Cross-Correlation Between BRICS Markets, Commodities and Green Bonds
Eder J. A. L. Pereira; Letícia S. Anjos; Paulo Ferreira; Derick D. Quintino; Dora AlmeidaThis paper evaluated the cross-correlation between the BRICS (Brazil, Russia, India, China and South Africa) markets with commodities and green bonds. For this purpose, the detrended moving-average cross-correlation coefficient (ρDMCA) was used, based on a sliding windows approach, with data covering a sample before the COVID-19 pandemic, during the COVID-19 pandemic and after Russia invaded Ukraine. The result...
Volatility interdependencies of cryptocurrencies, gold, oil, and US stocks: qua...
OlaOluwa S. Yaya; Derick D. Quintino; Cristiane M. Ogino; Olanrewaju I. Shittu; Dora M. F. Almeida; Paulo J. S. FerreiraThe fnancial market is constantly afected by extreme events, such as the COVID19 pandemic and the Russia-Ukraine war, which have signifcantly impacted commodity prices and market conditions. To better understand the behaviour of prices in diferent market situations, particularly at the bull and bear market states, this study investigates the interdependencies of volatility between cryptocurrencies, gold, oil, a...