Results 11 to 20 of about 253,423 (302)
Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India [PDF]
Binus Business Review, 2010 Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets.
Martin Martin, Yunita Yunita
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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
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RICE PRICE VOLATILITY IN EAST JAVA [PDF]
Russian Journal of Agricultural and Socio-Economic Sciences, 2017 The purpose of the research is analyzing the volatility and volatility spillover of monthly price of paddy at the level of farmers and consumers in 2010-2016.
Wati R.Y.E., Anindita R., Setiawan B.
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On the Dynamic Connectedness of the Stock, Oil, Clean Energy, and Technology Markets
Energies, 2022 Using monthly data from September 2004 to February 2020, this paper investigates the connectedness of the renewable energy, common stock, oil, and technology markets.
Amirreza Attarzadeh, Mehmet Balcilar
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Cross-Market Spillovers with Volatility Surprisee [PDF]
SSRN Electronic Journal, 2014 AbstractThis article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross‐market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect cross‐effects between the conditional variances.
Aboura, Sofiane, Chevallier, Julien
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Energies, 2023 Based on the spillover index and an improved spillover asymmetric measure method, this paper studies the volatility spillover and its asymmetric effect between crude oil and agricultural commodity futures in pre- and post-outbreak of COVID-19.
Deyuan Zhang +3 more
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Mathematics, 2023 We explore the dynamics and determinants of volatility spillover between financial technology (FinTech) and the traditional financial industry (TFI).
Ziyao Wang +3 more
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Volatility spillover effect in Western Balkans [PDF]
Acta Oeconomica, 2018 This article examines volatility spillover among Western Balkan’s stock markets and selected developed markets. If there is an evidence of weak linkage between various markets, then there are potential benefits that could arise from international diversification. However, if we analyse the relationship between two markets that are different in terms of
Latinovic, Milica +2 more
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Volatility spillovers across sectors and their magnitude: A sector-based analysis for Australia.
PLoS ONE, 2023 While spillover across equity markets has been extensively investigated, volatility spillover across sectors has largely been under-examined in the current literature.
Duc Hong Vo
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Energies, 2020 Our study analyzes the return and volatility spillover among the natural gas, crude oil, and electricity utility stock indices in North America and Europe from 4 August 2009 to 16 August 2019.
Wenting Zhang +3 more
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