COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets. [PDF]
Econ Anal Policy, 2022 Mensi W, Vo XV, Kang SH.
europepmc +1 more source
Discrete Dynamics in Nature and SocietyThis paper examines the dynamic evolution and volatility spillovers between China’s green bond market and conventional financial markets (bond, stock, commodity, and foreign exchange markets) using time and frequency connectedness measures. The empirical
Yingliang Chen +2 more
doaj +1 more source
COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover. [PDF]
Financ Res Lett, 2022 Di M, Xu K.
europepmc +1 more source
Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
Financial InnovationThis study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined ...
Meiyu Wu, Li Wang, Haijun Yang
doaj +1 more source
Asymmetric volatility spillover among Chinese sectors during COVID-19. [PDF]
Int Rev Financ Anal, 2021 Shahzad SJH, Naeem MA, Peng Z, Bouri E.
europepmc +1 more source
The Time-Varying Connectedness Between China's Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis. [PDF]
Lett Spat Resour Sci, 2022 Fu J, Qiao H.
europepmc +1 more source
Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. [PDF]
Financ Innov, 2022 Özdemir O.
europepmc +1 more source
Volatility spillover around price limits in an emerging market. [PDF]
Financ Res Lett, 2021 Aktas OU, Kryzanowski L, Zhang J.
europepmc +1 more source
Volatility Spillovers and Market Integration in South Africa’s Fresh Produce Markets
CommoditiesPrice volatility in the South African fresh produce market poses significant risks to the entire value chain. This study examines the extent of price volatility and spillover effects in these markets to improve price risk management and enhance market ...
David Kalima +2 more
doaj +1 more source
AGRISE, 2016 Fluctuation on tomatoes’ prices is considered unstable as well as unpredictable due to several obstructions on demands and supply, which are deemed to yield a price volatility.
Amylia Rahma Nurbani +2 more
doaj