Andrea Andrejević-Panić
Biographic Data
| ID | 7545156 |
|---|---|
| NAME | Andrea Andrejević-Panić |
| GIVEN NAMES | Andrea |
| FAMILY NAME | Andrejević-Panić |
| SIGNATURE | ANDREJEVIĆ-PANIĆ A |
| AFFILIATIONS | Educons University |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2021 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 0 |
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…
No prominent works on this page.
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…
Algorithm (1 work) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Econometrics (1 work) · Financial Markets and Investment Strategies (1 work) · JavaScript (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work) · Nonlinear system (1 work) · Optics (1 work)