Results 1 to 10 of about 132,901 (169)

Interconnectedness and Spillover Effects amongst Stock Markets of the US, China, Germany, Japan and India using DCC-GARCH Model and Diebold Yilmaz Method [PDF]

Colombo Business Journal International Journal of Theory and Practice
In a rapidly globalising world, economic boundaries are dissolving as stakeholders seek broader opportunities. Corporations are now multinational, and investors are increasingly turning to global stock markets to maximise gains.
Archana Agarwal, Nidhi Dhankhar, Sunita Mehla   +2 more
exaly   +3 more sources

Oil prices, labour market adjustment and dynamic quantile connectedness analysis: evidence from Greece during the crisis [PDF]

Journal of Economic Structures, 2022
This paper examines the spillover effects transmission mechanism between oil prices, oil price uncertainty and oil price volatility on labour market in Greece, using static and dynamic quantile connectedness methodology (Diebold and Yilmaz Diebold and ...
Panagiotis Palaios, Evangelia Papapetrou
doaj   +2 more sources

Linkages between American and European Publicly Traded Airline Companies - Evidence Resulting from the Diebold-Yilmaz Method [PDF]

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2020
In this paper, the author implemented the Diebold and Yilmaz approach to analyse the connectedness between the major American and European publicly traded airline companies.
Blanka Łęt
doaj   +2 more sources

Dynamic Connectedness of International Crude Oil Prices: The Diebold–Yilmaz Approach [PDF]

Sustainability, 2018
Connectedness is the key to modern risk measurement and management. This study investigates the international connectedness of crude oil prices and explores its time-varying characteristics based on a connectedness measurement framework using daily international crude oil prices.
Xiao, Xiaoyong, Huang, Jing
exaly   +2 more sources

Novel evidence from APEC countries on stock market integration and volatility spillover: A Diebold and Yilmaz approach

Cogent Economics and Finance, 2023
The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock ...
Vishal Dagar, Arpit Sidhu, Shubham Kakran   +2 more
exaly   +3 more sources

Volatility Spillovers and Correlation Dynamics between Bitcoin and Indian Equity Index: Evidence from DCC-GARCH and Diebold-Yilmaz Analysis

IJFMR - International Journal For Multidisciplinary Research
This study investigates the volatility dynamics, return causality, and connectedness between Bitcoin (BTC-INR) and the Indian equity market index (Nifty 50) using daily data from April 2015 to March 2025. Comprehensive econometric framework such as descriptive statistics, stationarity, and causality tests, GARCH (1,1) modelling, Dynamic Conditional ...
Aparajita Singh, Arin SN
exaly   +2 more sources

Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach

Systems, 2023
In this study, we analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside and ...
Ki-Hong Choi, Seong-Min Yoon
doaj   +2 more sources

Do ECB's rate hikes have spillover effects on the Hungarian BUBOR and the EUR/HUF exchange rate? A five‐variable VAR model approach using the Diebold‐Yilmaz spillover table

Journal of Corporate Accounting and Finance
AbstractWe intend to show the directional volatility spillovers between the European short term interbank lending rates (3‐month Euro Interbank Offered Rate [EURIBOR] and Euro Short‐Term Rate [ESTR]) and the Hungarian Budapest Interbank Offered Rate (BUBOR) and Euro‐Hungarian Forint exchange rate.
Molnar Albert, Csiszárik‐Kocsír Ágnes   +1 more
exaly   +2 more sources

Climate policy shocks and market dynamics: Analysis of green and brown equities in China's energy sector using Diebold-Yilmaz connectedness frameworkGithub

International Review of Economics & Finance
This study investigates how renewable energy policy announcements influenced stock return dynamics among green and brown firms in China's energy sector.
Abbas Khan, Li Shuangjie, Abdulrahman Alomair, Abdulaziz S. Al Naim   +3 more
doaj   +2 more sources

Sectoral Contagion and Volatility Spillovers at the Casablanca Stock Exchange : A DCC-GARCH and Diebold-Yilmaz Network Approach

IJFMR - International Journal For Multidisciplinary Research
This paper investigates the dynamics of cross-sectoral volatility transmission within the Casablanca Stock Exchange (CSE), an increasingly prominent equity market in the MENA region. We employ a Dynamic Conditional Correlation GARCH (DCC-GARCH) framework to estimate time-varying correlations among six key sectoral indices over the period January 2015 ...
exaly   +2 more sources