Results 121 to 130 of about 35,893 (313)
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
Effect of Prudential Policies on Sovereign Bond Markets: Evidence From the ASEAN‐4 Countries
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the effects of prudential policies on the sovereign vulnerability of ASEAN‐4 countries. We measure sovereign vulnerability within the network connectedness of sovereign bonds between ASEAN‐4 countries (Indonesia, Malaysia, the Philippines and Thailand) and six other countries (the US, the UK, the European Union, China ...
Joshua Aizenman +4 more
wiley +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 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets. [PDF]
Econ Anal Policy, 2022 Mensi W, Vo XV, Kang SH.
europepmc +1 more source
Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan [PDF]
Our paper examines the volatility spillover between the stock market and the foreign exchange market in Pakistan. For long run relationship we use Engle Granger two step procedure and the volatility spillover is modelled through bivariate EGARCH method ...
Kemal, A. R., Qayyum, Abdul
core +1 more source
Climate Change Laws and European Stock Markets: An Event Analysis
International Journal of Finance &Economics, EarlyView.ABSTRACT Under the context of the climate change we assess the impact of EU's legislative initiative on European stock markets. Specifically, we focus on its impact on energy and Environmental Social Governance (ESG) sectors for equity returns and volatility for a representative basket of EU countries (participating also in Eurozone) as well as ...
Theodoros Bratis +2 more
wiley +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
Decomposing European bond and equity volatility [PDF]
The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatilities are analyzed simultaneously.
Christiansen, Charlotte
core
Interplay Between Green Investment and Market Price Premia in Global Shipping
International Journal of Finance &Economics, EarlyView.ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi +4 more
wiley +1 more source
Discrete Dynamics in Nature and SocietyThis paper examines the dynamic evolution and volatility spillovers between China’s green bond market and conventional financial markets (bond, stock, commodity, and foreign exchange markets) using time and frequency connectedness measures. The empirical
Yingliang Chen +2 more
doaj +1 more source