Outputs (2)

Volatility Spillover Across Spot and Futures Markets: Evidence from Dual Financial System (2024)
Journal Article
Elsayed, A. H., Asutay, M., ElAlaoui, A. O., & Bin Jusoh, H. (in press). Volatility Spillover Across Spot and Futures Markets: Evidence from Dual Financial System. Research in International Business and Finance,

This paper investigates dynamic returns and volatility spillovers between spot and futures markets in a dual financial system. It further analyses the shock transmission of both volume trading and open interest in the futures market. Empirical result... Read More about Volatility Spillover Across Spot and Futures Markets: Evidence from Dual Financial System.

The Impact of Geopolitical Risk on Sustainable Markets: A Quantile-Time-Frequency Analysis (2024)
Journal Article
Helmi, M. H., Elsayed, A. H., & Khalfaoui, R. (in press). The Impact of Geopolitical Risk on Sustainable Markets: A Quantile-Time-Frequency Analysis. Finance Research Letters, 64, Article 105380. https://doi.org/10.1016/j.frl.2024.105380

We examine the impact of Geopolitical Risk (GPR) on green, clean, and socially responsible markets by employing the newly proposed Wavelet Quantile Correlation, Cross-quantilogram and Causality-in-quantiles. Unlike earlier studies,... Read More about The Impact of Geopolitical Risk on Sustainable Markets: A Quantile-Time-Frequency Analysis.