Results 61 to 70 of about 641,406 (300)
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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Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan [PDF]
, 2006 Our paper examines the volatility spillover between the stock market and the foreign exchange market in Pakistan. For long run relationship we use Engle Granger two step procedure and the volatility spillover is modelled through bivariate EGARCH method ...
Kemal, A. R., Qayyum, Abdul
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Volatility Spillover between Water, Energy and Food [PDF]
Sustainability, 2017 Water, energy, and food and are strongly interconnected, and the sustainability of the whole world depends on this link. The aim of this article is to analyze the volatility spillovers between indexes representing the financial component of this nexus.
M. Peri, D. Vandone, L. Baldi
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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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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 between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN
International Journal of Energy Economics and Policy, 2022 This study points to increase global monetary integration as a result of rising volatility spillovers. As a result, analyzing volatility spillovers for international areas that expand and improve through the usage of inventory returns and oil prices is ...
M. Alexandri, S. Supriyanto
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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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Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market
Mathematics, 2021 Following generalized variance decomposition, we identify the transmission structure of financial shock among ten sectors in China. Then, we examine whether economic policy uncertainty (EPU) affects it through GARCH-MIDAS regression.
Xiaqing Su, Zhe Liu
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Journal of Risk and Financial Management, 2021 The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain.
S. Jena +3 more
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