Results 21 to 30 of about 253,423 (302)
Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets
Mathematics, 2021 This study assesses the spillover effect of the listed property companies that cover pan-Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan, China, the Philippines, and Hong Kong.
Mário Nuno Mata +3 more
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The Responses of Stock, Gold and Foreign Exchange Markets to Financial Shocks: VAR-MGARCH Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 The aim of this paper is to investigate the responses of stock, gold and foreign exchange markets in Iran, with an emphasis on the spillover volatility effects.
Vahid Dehbashi +3 more
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Networks of volatility spillovers among stock markets [PDF]
Physica A: Statistical Mechanics and its Applications, 2017 Abstract In our network analysis of 40 developed, emerging and frontier stock markets during the 2006–2014 period, we describe and model volatility spillovers during both the global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics.
Baumöhl, Eduard +3 more
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Volatility Spillover and International Contagion of Housing Bubbles [PDF]
Journal of Risk and Financial Management, 2021 This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive ...
Jean-Louis Bago +3 more
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Studia Universitatis Babes-Bolyai Oeconomica, 2023 Abstract This study investigates the spillover effects of ESG scores from companies operating in the same industry and their impact on stock return volatility. For this purpose, I considered a sample of European listed companies from 2019 to 2022.
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Cogent Food & Agriculture, 2023 With the increased opening of China’s dairy industry to the outside world and the cost advantages of imported dairy products, China’s dairy product import trade has grown rapidly in recent years.
Qianqian Wang +2 more
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Measuring Persistence in Volatility Spillovers [PDF]
SSRN Electronic Journal, 2013 This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional variance is even more persistent than the effect of an own ...
Conrad, Christian, Weber, Enzo
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PRICE VOLATILITY AND SPILLOVER OF BIG CAYENNE (Capsicum annuum L.) IN MALANG DISTRICTS
AGRISE, 2019 Production of big cayenne in Malang Districts has trend increase while consumption has trends decrease make excess supply. Unbalanced supply and demand causes price fluctuation between producers and consumers.
Nurul Khabibah +2 more
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Algorithms, 2022 This paper advances a volatility-regime-switching mechanism to investigate the intensity and direction of the volatility spillover effect in carbon–energy markets.
Leon Li
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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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