Dejan Živkov
Datos Biográficos
| ID | 3049198 |
|---|---|
| NOMBRE | Dejan Živkov |
| NOMBRES | Dejan |
| APELLIDO | Živkov |
| FIRMA | ŽIVKOV D |
| AFILIACIONES | University of Novi Sad |
| ORCID | 0000-0003-2357-3250 |
| VERIFICADO | Sí |
| TOTAL DE OBRAS | 5 |
| TOTAL DE CITAS | 1 |
| OBRAS COMO AUTOR | 5 |
| OBRAS COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 2020 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2023 |
| ÍNDICE H | 1 |
Multiscale interdependence between economic policy uncertainty and industrial production of Central and Eastern European countries
This paper shows how the three economic policy uncertainties (EPUs), namely global economic uncertainty, US economic policy uncertainty and German economic policy uncertainty, impact the industrial production of 8 Central and Eastern European countries. The investigation is done in both time and frequency domains, using the wavelet coherence and wavelet correlation approaches. The US EPU has the strongest effect on all industrial productions, whi…
Multiscale Interdependence Between Consumer and Producer Prices in Emerging Eastern European Countries
This paper investigates multiscale causal relations between consumer and producer prices in eight emerging Eastern European countries.We use wavelet coherence to measure the multiscale nexus between inflation types, and wavelet-based Bayesian quantile regression (BQR) to inspect the spillover effect.Wavelet coherence plots indicate low coherence in the short time horizon (up to two months) and higher coherence in the longer time horizons, particu…
Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals
Nonlinear bidirectional multiscale volatility transmission effect between stocks and exchange rate markets in the selected African countries
This paper investigates the multiscale bidirectional volatility spillover effect between the national stocks and exchange rate markets in four African countries – Nigeria, South Africa, Egypt and Morocco. Our computations involve the wavelet transformation of the empirical series, creation of the regime-dependant conditional volatilities via MS-GARCH model and measurement of the volatility spillover effect in the quantile regression framework. We…
Multiscale oil-stocks dynamics
This paper tries to determine the strength of the interdependence between Brent oil market and the stock markets of oil importing Visegrad group countries and oil exporting Russia in different time-horizons. The paper uses several novel and elaborate methodologies – bivariate DCC-EGARCH model, wavelet correlations and phase difference. The results of DCC model show that all dynamic correlations between Brent oil and the selected stock indices are…
Multiscale Interdependence Between Consumer and Producer Prices in Emerging Eastern European Countries
This paper investigates multiscale causal relations between consumer and producer prices in eight emerging Eastern European countries.We use wavelet coherence to measure the multiscale nexus between inflation types, and wavelet-based Bayesian quantile regression (BQR) to inspect the spillover effect.Wavelet coherence plots indicate low coherence in the short time horizon (up to two months) and higher coherence in the longer time horizons, particu…
Multiscale oil-stocks dynamics
This paper tries to determine the strength of the interdependence between Brent oil market and the stock markets of oil importing Visegrad group countries and oil exporting Russia in different time-horizons. The paper uses several novel and elaborate methodologies – bivariate DCC-EGARCH model, wavelet correlations and phase difference. The results of DCC model show that all dynamic correlations between Brent oil and the selected stock indices are…
Nonlinear bidirectional multiscale volatility transmission effect between stocks and exchange rate markets in the selected African countries
This paper investigates the multiscale bidirectional volatility spillover effect between the national stocks and exchange rate markets in four African countries – Nigeria, South Africa, Egypt and Morocco. Our computations involve the wavelet transformation of the empirical series, creation of the regime-dependant conditional volatilities via MS-GARCH model and measurement of the volatility spillover effect in the quantile regression framework. We…
Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals
Multiscale interdependence between economic policy uncertainty and industrial production of Central and Eastern European countries
This paper shows how the three economic policy uncertainties (EPUs), namely global economic uncertainty, US economic policy uncertainty and German economic policy uncertainty, impact the industrial production of 8 Central and Eastern European countries. The investigation is done in both time and frequency domains, using the wavelet coherence and wavelet correlation approaches. The US EPU has the strongest effect on all industrial productions, whi…
Multiscale Interdependence Between Consumer and Producer Prices in Emerging Eastern European Countries
This paper investigates multiscale causal relations between consumer and producer prices in eight emerging Eastern European countries.We use wavelet coherence to measure the multiscale nexus between inflation types, and wavelet-based Bayesian quantile regression (BQR) to inspect the spillover effect.Wavelet coherence plots indicate low coherence in the short time horizon (up to two months) and higher coherence in the longer time horizons, particu…
Market Dynamics and Volatility (5 obras) · Economics (4 obras) · Econometrics (3 obras) · Mathematics (3 obras) · Complex Systems and Time Series Analysis (2 obras) · Computer Science (2 obras) · Financial economics (2 obras) · Financial Risk and Volatility Modeling (2 obras) · Geography (2 obras) · International economics (2 obras)