Analisis Spillover terhadap Pasar Ekuitas Negara Berkembang dan Negara Maju Periode 2003-2011 [PDF]
, 2015 This study analyzes spillover effect which occurred in emerging and advanced economies, resulting from the US financial crisis and Greece sovereign debt crisis, covering the period of January 2003-December 2011.
Barry, H. (Husnil)
core
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
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
The volatility spillover from the market to disaggregated industry stocks: the case for the US and UK [PDF]
, 2009 This article empirically investigates the volatility spillover of stock returns from the market to disaggregated industry sectors. Seventeen sectors from the US and UK stock markets are estimated by the GARCH technique based on daily data from 1973 to ...
Moore, T
core
The Drivers of the CEE Exchange Rate Volatility - Empirical Perspective in the context of the Recent Financial Crisis [PDF]
This paper focuses on the CEE countries volatility captured by the exchange rate dynamics. In the first part, the spillover phenomenon is analyzed from the perspective of the recent financial crisis, where cross-border capital flows increased the risk of
Brezeanu, Petre +3 more
core
Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
Financial InnovationThis study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined ...
Meiyu Wu, Li Wang, Haijun Yang
doaj +1 more source
The Time-Varying Connectedness Between China's Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis. [PDF]
Lett Spat Resour Sci, 2022 Fu J, Qiao H.
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
Volatility spillover around price limits in an emerging market. [PDF]
Financ Res Lett, 2021 Aktas OU, Kryzanowski L, Zhang J.
europepmc +1 more source