Results 11 to 20 of about 641,406 (300)
RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan [PDF]
Risks, 2018 This study examines empirically the volatility spillover effects between the RMB foreign exchange markets and the stock markets by employing daily returns of the Chinese RMB exchange rates and the stock markets in China and Japan during the period in ...
Fengming Qin +2 more
doaj +2 more sources
Volatility Spillover Effects of the US, European and Chinese Financial Markets in the Context of the Russia–Ukraine Conflict [PDF]
International Journal of Financial Studies, 2022 The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia–Ukraine conflict.
Mohamed Beraich +4 more
semanticscholar +2 more sources
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
doaj +1 more source
Analyzing risk contagion and volatility spillover across multi-market capital flow using EVT theory and C-vine Copula. [PDF]
HeliyonAfzal F, Pan H, Afzal F, Gul RF.
europepmc +2 more sources
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 +5 more
doaj +1 more source
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 +3 more
doaj +1 more source
Volatility Spillovers among Cryptocurrencies [PDF]
Journal of Risk and Financial Management, 2021 The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins.
openaire +2 more sources
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
doaj +1 more source
Valuing volatility spillovers [PDF]
Global Finance Journal, 2006 Abstract We show that volatility spillovers are large enough to matter to investors. We demonstrate that standard deviations of returns to mean-variance portfolios of European equities fall by 1–1.5% at daily, weekly, and monthly rebalancing horizons when volatility spillovers are included in covariance forecasts.
George Milunovich, Susan Thorp
openaire +2 more sources
Cogent Economics & Finance, 2023 The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock ...
Shubham Kakran +3 more
semanticscholar +1 more source