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Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]

PLoS One
Siddiqui N, Mohamad Hasim H.
europepmc   +1 more source

Essays on the volatility and spillover effects of oil and food price shocks

, 2012
Fardous Alom
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Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance

Salvagnin C, Tatto Vd, De Giuli ME, Mira A, Glielmo A.   +4 more
europepmc   +1 more source

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Returns and volatility spillover between agricultural commodities and emerging stock markets: new evidence from COVID-19 and Russian-Ukrainian war

International Journal of Emerging Markets, 2023
PurposeThis study investigate the return and volatility spillover among agricultural commodities and emerging stock markets during various crises, including the COVID-19 pandemic and the Russian-Ukrainian war.Design/methodology/approachThis return and ...
Maria Babar, H. Ahmad, Imran Yousaf
semanticscholar   +1 more source

PORTFOLIO VOLATILITY SPILLOVER

International Journal of Theoretical and Applied Finance, 2022
In this paper, the authors estimate portfolio volatilities and use variance−decomposition techniques and Cholesky factorization to construct a portfolio volatility spillover index. Furthermore, the authors show that spillover risks are persistent and much more common than well-known indicators like the turbulence index and the CBOE VIX index might ...
GUEORGUI S. KONSTANTINOV, FRANK J. FABOZZI   +1 more
openaire   +1 more source

Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications

Investment Analysts Journal, 2023
We investigate the return and volatility spillovers among NFTs, REITs, and other major financial assets from January 2019 to November 2022, using connectedness approaches.
Masudul Alam, M. A. H. Chowdhury, Mohammad Abdullah, Mansur Masih   +3 more
semanticscholar   +1 more source

The Dynamic Correlation and Volatility Spillover Among Green Bonds, Clean Energy Stock, and Fossil Fuel Market

Social Science Research Network, 2023
This study employs mainly the Bayesian DCC-MGARCH model and frequency connectedness methods to respectively examine the dynamic correlation and volatility spillover among the green bond, clean energy, and fossil fuel markets using daily data from 30 June
Chao-Yun Tang, Kentaka Aruga
semanticscholar   +1 more source

Volatility Spillover Effects between Indian Stock Market and Global Stock Markets: A DCC-GARCH Model

FIIB Business Review, 2023
The present article empirically estimates the volatility spillover transmission in Indian equity market represented by Sensex from world economies composite index (Euro Stoxx 50) using the dynamic conditional correlation generalized autoregressive ...
Nikhil Yadav, Anurag Bhadur Singh, P. Tandon   +2 more
semanticscholar   +1 more source

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets

The Journal of Risk Finance, 2023
PurposeThis paper aims to quantify the volatility spillover impact and the directional predictability from stock market indexes to Bitcoin.Design/methodology/approachDaily data of 15 developed and 15 emerging stock markets are used for the period March ...
Imen Omri
semanticscholar   +1 more source

Volatility Spillover and Directionality in Cryptocurrency and Metal Markets

Journal of Emerging Market Finance, 2023
This article investigates the dynamic relationship between cryptocurrencies and metals, examining the existence and direction of volatility spillovers. While previous studies have explored the relationships between different cryptocurrencies and between ...
Sumanjay Dutta, Parthajit Kayal, G. Balasubramnaian   +2 more
semanticscholar   +1 more source