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Volatility Spillover Effects in European Equity Markets [PDF]
Journal of Financial and Quantitative Analysis, 2002 This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets.I develop a shock spillover model that decomposes local unexpected returns into a ...
Baele, L.
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Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach [PDF]
Panoeconomicus, 2021 Using frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market.
Nghi Le Dinh, Kieu Nguyen Minh
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Frontiers in Public Health, 2022 The outbreak of the COVID-19 epidemic intensified the volatility of commodity markets (the energy and precious metals markets), which created a significant negative impact on the volatility spillovers among these markets. It may also have triggered a new
Xiaoyu Tan +5 more
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Borsa Istanbul Review, 2021 This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets.
Walid Mensi +3 more
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Volatility Spillovers among Cryptocurrencies [PDF]
Journal of Risk and Financial Management, 2021 The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins.
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Are the systemic risk spillovers of good and bad volatility in oil and global equity markets alike?
Energy Strategy Reviews, 2023 This paper explores the asymmetric connectedness of systemic risk between the oil and global stock markets in both the time and frequency domains. To do so, we introduce time-varying parametric vector autoregressive (TVP-VAR) spillover index models and ...
Qichang Xie, Jingrui Qin, Jianwei Li
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Valuing volatility spillovers [PDF]
Global Finance Journal, 2006 Abstract We show that volatility spillovers are large enough to matter to investors. We demonstrate that standard deviations of returns to mean-variance portfolios of European equities fall by 1–1.5% at daily, weekly, and monthly rebalancing horizons when volatility spillovers are included in covariance forecasts.
George Milunovich, Susan Thorp
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RICE PRICE VOLATILITY IN EAST JAVA [PDF]
Russian Journal of Agricultural and Socio-Economic Sciences, 2017 The purpose of the research is analyzing the volatility and volatility spillover of monthly price of paddy at the level of farmers and consumers in 2010-2016.
Wati R.Y.E., Anindita R., Setiawan B.
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A test for volatility spillovers [PDF]
Economics Letters, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Martin Sola +2 more
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On the Dynamic Connectedness of the Stock, Oil, Clean Energy, and Technology Markets
Energies, 2022 Using monthly data from September 2004 to February 2020, this paper investigates the connectedness of the renewable energy, common stock, oil, and technology markets.
Amirreza Attarzadeh, Mehmet Balcilar
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