Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s [PDF]
In this paper we use high frequency interest rate data for a group of Latin American countries to analyze the behavior of volatility through time.
Raul Susmel, Sebastian Edwards
core
Stock and Bond Relationships in Asia [PDF]
This paper analyzes the relationship between stocks and bonds in nine Asian countries. Using a bivariate stochastic volatility model, we show that there are significant volatility spillover effects between stock and bond markets in several of the ...
Johansson, Anders C.
core
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? [PDF]
, 2014 Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and good volatility
Barunik, Jozef +2 more
core
Volatility Spillovers and Market Integration in South Africa’s Fresh Produce Markets
CommoditiesPrice volatility in the South African fresh produce market poses significant risks to the entire value chain. This study examines the extent of price volatility and spillover effects in these markets to improve price risk management and enhance market ...
David Kalima +2 more
doaj +1 more source
HIGH PRICE VOLATILITY AND SPILLOVER EFFECTS IN ENERGY MARKETS [PDF]
Replaced with revised version of paper 07/22/11.Asymmetric shocks, energy markets, oil, spillover effects, volatility, Marketing, Resource /Energy Economics and Policy, GARCH,
Karali, Berna +2 more
core +1 more source
Volatility Spillovers across South African Asset Classes during Domestic and Foreign [PDF]
This paper studies domestic volatility transmission in an emerging economy. Daily volatility spillover indices, relating to South African (SA) currencies, bonds and equities, are estimated using variance decompositions from a generalised vector ...
Alain Kabundi, Andrew S. Duncan
core +1 more source
Replication data for: Volatility Spillovers in East Asian Financial Markets: A MEM-Based Approach
, 2013 Giampiero M. Gallo +2 more
openalex +1 more source
An Empirical Analysis of the Taiwan Institutional Trading Volume Volatility Spillover on Stock Market Index Return [PDF]
This paper provides interesting empirical evidence on the relation between the volatility impact effect of the Taiwan institutional trading volume and the stock market index by using the MEGARCH model. We found a significant autoregressive coefficient of
Ching-Chun Wei
core
Realized volatility spillovers in the non-ferrous metal futures market
, 2013 Neda Todorova +2 more
openalex +2 more sources
Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs [PDF]
, 2021 Syed Kumail Abbas Rizvi +2 more
openalex +1 more source