Michael Frömmel
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View article: Volatility Spillovers and Market Decoupling: Evidence from BRICS and China’s Green Sector
Volatility Spillovers and Market Decoupling: Evidence from BRICS and China’s Green Sector Open
The global economic importance of green tech is rising. Yet the role of the green financial sector in the propagation of volatility is still unclear. Although the existing literature often characterizes green assets as stable, the new risk…
View article: Permanent and Transitory Volatility Spillovers Between Conventional and Islamic Stock Indices During the <scp>SARS</scp> ‐ <scp>CoV</scp> ‐2 Pandemic
Permanent and Transitory Volatility Spillovers Between Conventional and Islamic Stock Indices During the <span>SARS</span> ‐ <span>CoV</span> ‐2 Pandemic Open
This study examines the existence and nature of volatility spillovers between conventional and Islamic stocks indices in the context of the SARS‐CoV‐2 pandemic. By augmenting the Hafner and Herwartz methodology with the integration of Four…
View article: Nonstandard Errors
Nonstandard Errors Open
In statistics, samples are drawn from a population in a data‐generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence‐gener…
View article: Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange
Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange Open
Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the Moscow Exchange Market during the period 2005–2013, we analyze the impact of trading…
View article: The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential
The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential Open
This study applies a Markov switching error correction model to describe the single most important real exchange rate (Deutsche mark versus US dollar) over the flexible exchange rates period from 1973 to 2004. We show an alternative way of…
View article: The Influence of COVID-19 on Sustainable Economy
The Influence of COVID-19 on Sustainable Economy Open
This book examines applied studies contributing to the issues of financial markets and sustainable economy in conditions of COVID-19 pandemic. All studies in this book applied complex models with quantitative data in the areas of finance, …
View article: Sustainable Economy in Light of COVID-19
Sustainable Economy in Light of COVID-19 Open
Two years after the onset of the COVID-19 pandemic, the economy has adapted to the new market conditions that coexist with this global phenomenon [...]
View article: Correction: Vukovic et al. COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave. Sustainability 2021, 13, 8578
Correction: Vukovic et al. COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave. Sustainability 2021, 13, 8578 Open
The authors would like to make the following corrections to the published paper [...]
View article: COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave
COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave Open
The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a …
View article: Political connection heterogeneity and firm value in Vietnam
Political connection heterogeneity and firm value in Vietnam Open
The observation of firms' political connections (PCs) in both types of ascribed and acquired PCs has raised the question of their benefits to firms' operation. Based on 1,365 Vietnamese listed firm-year observations from 2010 to 2014, we f…
View article: The role of the real exchange rate in credit growth in central and eastern European countries : a bank-level analysis
The role of the real exchange rate in credit growth in central and eastern European countries : a bank-level analysis Open
This study analyzes the effects of macroeconomic and bank-level variables on the loan growth of banks in Central and Eastern European countries (CEECs) for the period between 1999 and 2010. Differences between private, state, domestic and …
View article: DAILY CURRENCY INTERVENTIONS IN EMERGING MARKETS: INCORPORATING RESERVE ACCUMULATION
DAILY CURRENCY INTERVENTIONS IN EMERGING MARKETS: INCORPORATING RESERVE ACCUMULATION Open
This study considers international reserve management motivation of emerging market central banks in foreign exchange market interventions. Emerging market central banks use currency intervention as a policy tool against exchange rate move…