Results 21 to 30 of about 641,406 (300)
RICE PRICE VOLATILITY IN EAST JAVA [PDF]
Russian Journal of Agricultural and Socio-Economic Sciences, 2017 The purpose of the research is analyzing the volatility and volatility spillover of monthly price of paddy at the level of farmers and consumers in 2010-2016.
Wati R.Y.E., Anindita R., Setiawan B.
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A test for volatility spillovers [PDF]
Economics Letters, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Martin Sola +2 more
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On the Dynamic Connectedness of the Stock, Oil, Clean Energy, and Technology Markets
Energies, 2022 Using monthly data from September 2004 to February 2020, this paper investigates the connectedness of the renewable energy, common stock, oil, and technology markets.
Amirreza Attarzadeh, Mehmet Balcilar
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Cross-Market Spillovers with Volatility Surprisee [PDF]
SSRN Electronic Journal, 2014 AbstractThis article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross‐market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect cross‐effects between the conditional variances.
Aboura, Sofiane, Chevallier, Julien
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Measurement of spillover effect between green bond market and traditional bond market in China
Green Finance, 2023 With the aim of effectively preventing and controlling systemic risk, by stimulating the advancement of the green bond market, it is significant and imperative to help investors and policymakers adopt more effective measures, which will ensure them to ...
Gang Peng +3 more
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Journal of Risk and Financial Management, 2023 This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation strategies.
Mohammad Sahabuddin +5 more
semanticscholar +1 more source
Energies, 2023 Based on the spillover index and an improved spillover asymmetric measure method, this paper studies the volatility spillover and its asymmetric effect between crude oil and agricultural commodity futures in pre- and post-outbreak of COVID-19.
Deyuan Zhang +3 more
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Emerging Market Volatility Spillovers [PDF]
The American Economist, 2018 We address the importance of emerging market economies for the global economy by testing for volatility spillovers between the United States and a number of emerging market economies. We use the methodology recently introduced by Diebold and Yilmaz and daily data, over the period from December 8, 2011, to March 21, 2018, on exchange-traded funds (ETFs),
Apostolos Serletis, Nahiyan Faisal Azad
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Volatility spillovers across sectors and their magnitude: A sector-based analysis for Australia.
PLoS ONE, 2023 While spillover across equity markets has been extensively investigated, volatility spillover across sectors has largely been under-examined in the current literature.
Duc Hong Vo
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Energies, 2020 Our study analyzes the return and volatility spillover among the natural gas, crude oil, and electricity utility stock indices in North America and Europe from 4 August 2009 to 16 August 2019.
Wenting Zhang +3 more
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