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Asymmetrical Volatility and Spillover Effects
2017This 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, 2013This 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 +2 more
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VOLATILITY SPILLOVER EFFECT ON NONLINEAR CAUSALITY TESTS
Far East Journal of Theoretical Statistics, 2018Summary: 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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Interest-rate volatility and volatility spillovers in emerging Europe
International Review of Applied Economics, 2011While 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, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Nonlinear GARCH Models and Volatility Spillover
SSRN Electronic Journal, 2005We 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 SPILLOVER BETWEEN FINANCIAL MARKETS
2017Bu çalışmada ABD, Kanada, Çin,Japonya, Güney Kore, Almanya, İngiltere, İsviçre ve Yunanistan hisse senedipiyasalarından kırılgan sekizlilerin (Brezilya, Hindistan,Endonezya, Güney Afrika, Türkiye, Macaristan, Polonya ve Şili) hisse senedipiyasalarına doğru oynaklık yayılımı 2006-2015 dönemine ilişkin haftalık veriseti kullanılarak incelenmiştir ...
DEĞİRMENCİ, Nurdan, ABDİOĞLU, Zehra
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Volatility spillover effects amongsix Asian countries
Applied Economics Letters, 2009This article examines the volatility spillover effects among six Asian country stock markets using bivariate vector autoregression-generalized autoregressive conditional heteroskedasticity [VAR(p)-...
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