Results 31 to 40 of about 35,893 (313)
Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2016 The importance of oil price volatility spillover has significantly increased since the globalization and financial markets’ interaction have expanded. Based on this, the oil price impact on financial markets, as an exogenous variable, is also increased ...
Hossein Tavakolian +2 more
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RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan
Risks, 2018 This study examines empirically the volatility spillover effects between the RMB foreign exchange markets and the stock markets by employing daily returns of the Chinese RMB exchange rates and the stock markets in China and Japan during the period in ...
Fengming Qin +2 more
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Economies, 2018 This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic ...
Lorna Katusiime
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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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Volatility spillovers in EMU sovereign bond markets [PDF]
International Review of Economics & Finance, 2015 We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under ...
Fernández Rodríguez, Fernando, 1954- +2 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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Volatility Spillovers in Energy Markets
The Energy Journal, 2019 We investigate the extent and evolution of the links between energy markets using a broad data set consisting of a total of 17 series of prices for commodities such as electricity, natural gas, coal, oil and carbon. The results shed light on a number of relevant issues such as the volatility spillover effect in energy markets (within and across sectors)
Chuliá Soler, Helena +2 more
openaire +3 more sources