Results 11 to 20 of about 132,901 (169)
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness [PDF]
SSRN Electronic Journal, 2022 We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.
Diebold, Francis X., Yilmaz, Kamil
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The Role of Energy on the Price Volatility of Fruits and Vegetables: Evidence from Turkey
Bio-based and Applied Economics, 2022 In agricultural economics, fluctuations in food prices and the factors affecting these fluctuations have always been an important research topic. From production to delivery to consumers, the supply chain of agricultural products has a dynamic structure ...
Harun Uçak, Esin Yelgen, Yakup Arı
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TVP-VAR Based CARR-Volatility Connectedness: Evidence from The Russian-Ukraine Conflict
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2022 This paper aims to examine the spillover between volatilities obtained from the Conditional Autoregressive Range (CARR) process with the Time-Varying Parameter Vector Autoregressive (TVP-VAR) based Diebold-Yilmaz approach.
Yakup Arı
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Carbon Dioxide Emission Spillover in the OPEC Member Countries [PDF]
محیط زیست و توسعه فرابخشی, 2023 Introduction: The industrial revolution not only started a new era of rapid economic growth in countries, but also brought modern phenomena such as global warming and climate change.
Samaneh Bagheri
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Spillovers across the Asian OPEC+ Financial Market
Mathematics, 2023 This research utilizes the Diebold and Yilmaz spillover model to examine the correlation between geopolitical events, natural disasters, and oil stock returns in Asian OPEC+ member countries. The study extends prior research by investigating the dynamics
Darko B. Vuković +3 more
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COVID-19 and uncertainty spillovers in Indian stock market
MethodsX, 2021 In this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19.
Biplab Kumar Guru, Amarendra Das
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Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021 El presente artículo analiza los spillovers tanto en los rendimientos como entre sus volatilidades existentes entre el precio internacional del petróleo y los principales mercados bursátiles de América Latina y Estados Unidos.
Domingo Rodríguez Benavides +2 more
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SPILLOVER EFFECTS OF EXCHANGE RATE RETURNS IN SELECTED ASIAN COUNTRIES
Buletin Ekonomi Moneter dan Perbankan, 2021 We analyze the nature of exchange rate return spillovers for 16 currencies. We use 10 years of daily exchange rate data, covering January 01, 2010 to December 31, 2019.
Neluka Devpura
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Borsa Istanbul Review, 2023 By examining the connectedness of carry trade currency with stock, foreign exchange (forex), and commodity markets, the paper investigates the extent to which shocks in capital flows driven by interest-rate differentials affect financial markets ...
Nourhaine Nefzi, Abir Melki
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, 2021 It is well-known that financial connectedness tends to surge during financial/geopolitical turmoils. To this end, this study examines the impact of the COVID-19 pandemic on cryptocurrency connectedness by employing the Diebold-Yilmaz and the frequency connectedness approaches.
POLAT, Onur, EŞ POLAT, Gözde
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