Results 261 to 270 of about 253,423 (302)
The quantile time-frequency connectedness of economic policy uncertainty between China and the G7 countries. [PDF]
PLoS OneZhao J, Chen G, Song Y.
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Interstage market spillovers of the photovoltaic industry chain in China. [PDF]
Sci RepWang J, Li L, Shen T.
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Comparing Ising and Spin Glass Dynamics in Financial Markets: A Complex Systems Approach to Asset Interdependence. [PDF]
Entropy (Basel)Georgescu I, Kinnunen J.
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Finite-Length Spatiotemporal Modelling for Housing Price Network Spillovers. [PDF]
Entropy (Basel)Qiu L, Jiao Y, Dong G, Cui G.
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Journal of Forecasting, 2018
A recent study by Rapach, Strauss, and Zhou (Journal of Finance, 2013, 68(4), 1633–1662) shows that US stock returns can provide predictive content for international stock returns. We extend their work from a volatility perspective. We propose a model, namely a heterogeneous volatility spillover–generalized autoregressive conditional heteroskedasticity
Zhiyuan Pan +2 more
exaly +3 more sources
A recent study by Rapach, Strauss, and Zhou (Journal of Finance, 2013, 68(4), 1633–1662) shows that US stock returns can provide predictive content for international stock returns. We extend their work from a volatility perspective. We propose a model, namely a heterogeneous volatility spillover–generalized autoregressive conditional heteroskedasticity
Zhiyuan Pan +2 more
exaly +3 more sources
Volatility spillover in seafood markets
Journal of Commodity Markets, 2018Abstract There is a considerable body of research studying market integration in seafood, focusing on the relationship between prices. In this paper, we consider market connectedness, assessing volatility spillover between the world's three largest seafood markets, the EU, Japan and the USA, for fish and crustaceans. The data spans from 1990 to 2015,
Roy Endre Dahl
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PORTFOLIO VOLATILITY SPILLOVER
International Journal of Theoretical and Applied Finance, 2022In 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 +1 more
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Bootstrapping volatility spillover index
Communications in Statistics - Simulation and Computation, 2018Concentrating on confidence interval, a bootstrapping method is developed for volatility spillover index proposed by Diebold and Yilmaz via a vector autoregressive (VAR) model.
Ji-Eun Choi, Dong Wan Shin
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Volatility spillovers and the effect of news announcements
Journal of Banking & Finance, 2012We examine the effect of US and European news announcements on the spillover of volatility across US and European stock markets. Using synchronously observed international implied volatility indices at a daily frequency, we find significant spillovers of implied volatility between US and European markets as well as within European markets. We observe a
George J. Jiang +2 more
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