Results 41 to 50 of about 641,406 (300)
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
doaj +1 more source
Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data [PDF]
, 2005 We analyze interrelations between three stock markets in Central and Eastern Europe and, in addition, interconnections which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European stock markets (BUX, PX-50, WIG20).
Egert, Balazs, Kocenda, Evžen
core +3 more sources
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
openaire +8 more sources
Mathematics, 2023 With the accelerated pace of financial globalization and the gradual increase in linkages among financial markets, correctly identifying and describing the risk spillover and network diffusion in the financial system is extremely important for the ...
Sun Meng, Yan Chen
doaj +1 more source
Journal of Economics Finance and Administrative Science, 2022 PurposeThe study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely ...
A. Mishra +2 more
semanticscholar +1 more source
Journal of Risk and Financial Management, 2022 This paper examines and confirms the varying volatility of the relationship between cryptocurrency and currency markets at different time periods, such as when the market encountered multiple risk events including the US–China trade war, COVID-19, and ...
Shu-Han Hsu
semanticscholar +1 more source
Cogent Economics & Finance, 2023 It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes.
Hideto Shigemoto, Takayuki Morimoto
doaj +1 more source
Green Finance, 2022 In this paper,we investigate the mean and volatility spillover between the price of green bonds and the price of renewable energy stocks using daily price series from 02/11/2011 to 31/08/2021.
S. Gyamerah +2 more
semanticscholar +1 more source
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
doaj +1 more source
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
openaire +8 more sources