Results 261 to 270 of about 641,406 (300)

Asymmetrical Volatility and Spillover Effects

2017
This chapter takes a closer look at the volatility-specific component of beta. Some financial practitioners have advocated the use of relative volatility, standing alone, as a risk measure. This decision would eliminate the correlation component and its insights into the diversification value of financial portfolios.
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Global output growth and volatility spillovers

Applied Economics, 2013
This article examines discernable patterns of real Gross Domestic Product (GDP) growth co-movements across 29 countries, using consistent time series data (1912–2008). Of these countries, only 12 are found to form three statistically significant groupings (i.e.
Valadkhani, Abbas, Harvie, Charles, Karunanayake, Indika   +2 more
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Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective

Energy Economics, 2023
Xiao-Li Gong, M. Zhao, Zhuochen Wu, Kai-Wen Jia, Xiong Xiong   +4 more
semanticscholar   +1 more source

VOLATILITY SPILLOVER EFFECT ON NONLINEAR CAUSALITY TESTS

Far East Journal of Theoretical Statistics, 2018
Summary: This study investigates the effect of volatility spillover on nonlinear causality tests. We employ three nonlinear causality tests as logistic smooth transition, exponential smooth transition and time-varying models. These three causality tests include usual asymptotic test, heteroskedasticity-robust tests using the heteroskedasticity ...
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From Cryptos to Consciousness: Dynamics of Return and Volatility Spillover between Green Cryptocurrencies and G-7 Markets

Finance Research Letters, 2023
Shoaib Ali, Muhammad Naveed, Imran Yousaf, Muhammad Sualeh Khattak   +3 more
semanticscholar   +1 more source

Volatility spillover of green bond with renewable energy and crypto market

Renewable Energy, 2023
M. Yadav, Asheesh Pandey, Farhad Taghizadeh‐Hesary, Vandana Arya, Nandita Mishra   +4 more
semanticscholar   +1 more source

Interest-rate volatility and volatility spillovers in emerging Europe

International Review of Applied Economics, 2011
While many transition economies – particularly those that hope to join the Euro – have seen their economies converge to Europe’s, this process is by no means complete. Considerable macroeconomic volatility persists. This study examines the variability of the short-term nominal interest rates of ten transition economies, finding that eight of them ...
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Return and volatility spillovers among cryptocurrencies

Economics Letters, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Nonlinear GARCH Models and Volatility Spillover

SSRN Electronic Journal, 2005
We extend the class of GARCH models to comprise asymmetric and nonlinear effects on volatility. In particular, we do not only explain future volatility of a time series on its own past, but allow for external influences and spillovers between capital markets.
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Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets

Research In International Business and Finance, 2022
Shang Jiang, Yuze Li, Quanying Lu, Shouyang Wang, Yunjie Wei   +4 more
semanticscholar   +1 more source