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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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COVID-19 Shock and the Time-Varying Volatility Spillovers Among the Energy and Precious Metals Markets: Evidence From A DCC-GARCH-CONNECTEDNESS Approach

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, Xuetong Wang, Shiqun Ma, Zhimeng Wang, Yang Zhao, Lijin Xiang   +5 more
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Asymmetric volatility connectedness among main international stock markets: A high frequency analysis

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, Debasish Maitra, Xuan Vinh Vo, Sang Hoon Kang   +3 more
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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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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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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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Asymmetric Risk Connectedness between Crude Oil and Agricultural Commodity Futures in China before and after the COVID-19 Pandemic: Evidence from High-Frequency Data

Energies, 2023
Based on the spillover index and an improved spillover asymmetric measure method, this paper studies the volatility spillover and its asymmetric effect between crude oil and agricultural commodity futures in pre- and post-outbreak of COVID-19.
Deyuan Zhang, Wensen She, Fang Qu, Chunyan He   +3 more
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Volatility Spillover Dynamics and Determinants between FinTech and Traditional Financial Industry: Evidence from China

Mathematics, 2023
We explore the dynamics and determinants of volatility spillover between financial technology (FinTech) and the traditional financial industry (TFI).
Ziyao Wang, Yufei Xia, Yating Fu, Ying Liu   +3 more
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Volatility spillovers across sectors and their magnitude: A sector-based analysis for Australia.

PLoS ONE, 2023
While spillover across equity markets has been extensively investigated, volatility spillover across sectors has largely been under-examined in the current literature.
Duc Hong Vo
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How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe

Energies, 2020
Our study analyzes the return and volatility spillover among the natural gas, crude oil, and electricity utility stock indices in North America and Europe from 4 August 2009 to 16 August 2019.
Wenting Zhang, Xie He, Tadahiro Nakajima, Shigeyuki Hamori   +3 more
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