Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index [PDF]
, 2018 The Eurozone crisis is one the most important economic event in recent years. At its peak, the effects of the crisis have put at serious risk the outcome of the euro project, exposing the inherent weaknesses and vulnerabilities of the monetary union.
MacDonald, Ronald +2 more
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Investigation on the Effect of Global EPU Spillovers on Country-level Idiosyncratic Volatility
, 2021 Mustafa Çağlayan +2 more
openalex +1 more source
Volatility Spillover Between China’s Carbon Market and Traditional Manufacturing
MathematicsThis study constructed a DGC-t-MSV model by integrating dynamic correlation and Granger causality into the MSV framework. Using daily closing price data from 4 January 2022 to 21 November 2024, it empirically analyzed volatility spillover effects between
Jining Wang, Dian Sheng, Lei Wang
doaj +1 more source
Modelling the implied probability of stock market movements [PDF]
In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the DAX index.
Glatzer, Ernst, Scheicher, Martin
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Dynamic volatility spillovers across shipping freight markets
Transportation Research Part E: Logistics and Transportation Review, 2016 This paper examines the existence of dynamic volatility spillovers within and between the dry-bulk and tanker freight markets by employing the multivariate DCC-GARCH model and the volatility spillover index developed by Diebold and Yilmaz (2012, 2009).
openaire +3 more sources
An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management [PDF]
, 2020 Imran Yousaf +2 more
openalex +1 more source
Price Volatility Spillovers in Energy Supply Chains: Empirical Evidence from China
EnergiesBased on the theoretical framework of Multivariate Stochastic Volatility (MSV), this paper combines the Dynamic Generalized Correlation (DGC) model with the t-distribution, establishes the DGC-t-MSV model, and employs the Markov Chain Monte Carlo (MCMC ...
Lei Wang, Yu Sun, Jining Wang
doaj +1 more source
COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover. [PDF]
Financ Res Lett, 2022 Di M, Xu K.
europepmc +1 more source
VOLATILITY AND SPILL OVER EFFECTS IN INDIAN COMMODITY MARKETS: A CASE OF PEPPER [PDF]
Modeling of volatility has been felt one of the major academic contributions in Indian commodity futures market. We have selected black pepper as a commodity for estimating volatility and its spillover incorporating a series of models.
Dey Kushankur, Maitra Debasish
core