Results 21 to 30 of about 2,485 (100)
Volatility spillover and hedging strategies between the European carbon emissions and energy markets
Energy Strategy Reviews, 2023 Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration.
Jian Liu +3 more
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Return and Volatility Spillovers Among Asian Stock Markets
SAGE Open, 2011 The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and ...
Prashant Joshi
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Journal of Finance and Data Science, 2017 This study investigates the volatility spillover effect among Asian emerging markets in pre and post 2007 financial crisis period. The sample includes five emerging markets of Asia named; China, Pakistan, Hong Kong, Sri Lanka, and India.
Khalil Jebran +3 more
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Analysis of return and volatility spillover between oil-gold and oil-bitcoin during the covid-19 pandemic [PDF]
E3S Web of ConferencesThis study analyzes the return and volatility spillover between oil-gold and oil-Bitcoin pairs before and after the COVID-19 pandemic using the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model ...
Inayah Asty Khairi +4 more
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Volatility spillover between Germany, France, and CEE stock markets
Journal of Business Economics and Management, 2022 The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them.
Viorica Chirilă, Ciprian Chirilă
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IEEE Access, 2019 This paper studies the intraday return and volatility spillovers of Chinese CSI 300 industry indices with high-frequency data over the period from May 2012 to June 2016. The dynamic correlation among the industries is calculated with VEC-DCC-GARCH model.
Feng He, Zhifeng Liu, Sicen Chen
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Modeling return and volatility spillovers among food prices in Nigeria
Journal of Agriculture and Food Research, 2020 This paper focuses on the return and volatility spillovers among the major agricultural commodities in Nigeria. Specifically, we examine the spillovers across wheat, rice, soybeans, groundnut and palm oil both in terms of returns and volatility using ...
Ismail O. Fasanya, Temitope F. Odudu
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Inter-markets volatility spillover in U.S. bitcoin and financial markets
Journal of Business Economics and Management, 2019 This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover Asymmetry ...
Muhammad Owais Qarni +4 more
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Volatility spillovers between ethanol and corn prices: A Bayesian analysis
Energy Reports, 2022 The relationship between corn and ethanol markets has become a popular topic and has been investigated in various studies. However, examining the co-volatility spillover between corn and ethanol markets remains neglected in the literature.
Siraprapa Yosthongngam +2 more
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Volatility Spillover Effects Between Carbon Futures and Stock Markets: A DGC-t-MSV-BN Model
MathematicsThis paper applies the Multivariate Stochastic Volatility (MSV) model, alongside its extended DGC-t-MSV model, and integrates Bayesian methods with MCMC techniques to develop the DGC-t-MSV-BN model.
Jining Wang, Tian Man, Lei Wang
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