Results 41 to 50 of about 2,485 (100)

Will Bitcoin become the 21st century gold: Spillover effect of return and volatility between digital and traditional assets [PDF]

Industrija
This study aims to examine the spillover effects of return and volatility between three different assets (Bitcoin, Gold, and Nasdaq) using GARCH-ARMA models.
Sadewa Putra, Huruta Andrian Dolfriandra
doaj   +1 more source

Mean and volatility spillover in Asian economies: Evidence from trade war. [PDF]

PLoS One, 2023
Shafique A, Bhutta NT.
europepmc   +1 more source

Shocks and Volatility Spillover Between Stock Markets of Developed Countries and GCC Stock Markets

Journal of Taibah University for Science, 2019
The purpose of this paper is to examine the spillover of returns, information and volatility of returns, and conditional variance-covariance between the stock markets of developed countries namely the United States of America, the United Kingdom and ...
Ajab A. Alfreedi
doaj   +1 more source

Volatility Spillover Between the Carbon Market and Traditional Energy Market Using the DGC-t-MSV Model

Mathematics
This study employed the dynamic conditional correlation algorithm and incorporated the temporal dynamics of spillover effect to enhance the Multivariate Stochastic Volatility (MSV) model.
Jining Wang, Renjie Zeng, Lei Wang
doaj   +1 more source

The impact of pandemic on dynamic volatility spillover network of international stock markets. [PDF]

Empir Econ, 2023
Lan T, Shao L, Zhang H, Yuan C.
europepmc   +1 more source

US financial conditions index and its empirical impact on information transmissions across US-BRIC equity markets

Journal of Finance and Data Science, 2016
Both price discovery and volatility spillovers act as information transmission mechanisms across foreign boundaries. In this regard, the present study attempts to extend the findings reported by Singh and Kaur46 by considering pairwise volatility ...
Amanjot Singh, Manjit Singh
doaj   +1 more source

High frequency volatility spillover between oil and non-energy commodities during crisis and tranquil periods. [PDF]

SN Bus Econ, 2023
Marobhe MI, Kansheba JMP.
europepmc   +1 more source

Volatility Spillover Between China’s Carbon Market and Traditional Manufacturing

Mathematics
This study constructed a DGC-t-MSV model by integrating dynamic correlation and Granger causality into the MSV framework. Using daily closing price data from 4 January 2022 to 21 November 2024, it empirically analyzed volatility spillover effects between
Jining Wang, Dian Sheng, Lei Wang
doaj   +1 more source

Volatility connectedness of GCC stock markets: how global oil price volatility drives volatility spillover in GCC stock markets? [PDF]

Environ Sci Pollut Res Int, 2023
Hussain M, Rehman RU.
europepmc   +1 more source

Price Volatility Spillovers in Energy Supply Chains: Empirical Evidence from China

Energies
Based on the theoretical framework of Multivariate Stochastic Volatility (MSV), this paper combines the Dynamic Generalized Correlation (DGC) model with the t-distribution, establishes the DGC-t-MSV model, and employs the Markov Chain Monte Carlo (MCMC ...
Lei Wang, Yu Sun, Jining Wang
doaj   +1 more source