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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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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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From volatility spillover to risk spread: An empirical study focuses on renewable energy markets
Renewable Energy, 2021exaly
The volatility spillover effect of the European Union (EU) carbon financial market
Journal of Cleaner Production, 2021Shihong Zeng, Chunxia Jiang, Bin Su
exaly
Evaluation of volatility spillovers for asymmetric realized covariance
The North American Journal of Economics and Finance, 2023openaire +1 more source
Volatility‐Spillover Effects in European Bond Markets
European Financial Management, 2007Charlotte Christiansen
exaly
Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis
Physica A: Statistical Mechanics and Its Applications, 2019Anoop S Kumar
exaly