Volatility Spillover in India, USA and Japan Investigation of Recession Effects [PDF]
, 2010 In the past decades, there has been an unprecedented increase in cross border transactions between countries in terms of goods and financial flows. This integration has been fuelled by search of lower risk investments, risk diversification, search for ...
Sinha, Gyanesh, Sinha, Pankaj
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Volatility and Spillover Effects of Yen Interventions
Review of International Economics, 2013 AbstractWe consider the effects of interventions by the Bank of Japan's (BoJ) on the intraday volatility of the US dollar/Japanese yen (USD/JPY) exchange rates and their spillovers to volatility of the euro/JPY exchange rates. We use 15‐minute data during the period 2000–2004 and employ multivariate generalized autoregressive conditional ...
Chortareas, Georgios +2 more
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Spillover Volatilitas Pasar Saham Indonesia dan Singapura Periode 2001-2005
Jurnal Akuntansi dan Keuangan, 2010 Using an Autoregressive model combined with a univariate Exponential GARCH model for constructing a volatility spillover model, we investigate asymmetric effect and volatility persistence effect in Indonesia and Singapore stock market, and the effect of ...
Lestano Lestano, Julia Sucito
doaj
Volatility Spillover Between Stock Market and Foreign Exchange Market in Indonesia [PDF]
, 2009 Foreign exchange rate risk is one the market risk factors that effects investments. Understanding the foreign exchange risk exposure of each sector is necessary to set foreign exchange risk management.
Widjonarko, Y. E. (Yohanes) +1 more
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Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices [PDF]
, 2016 The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities.
Chang, C-L. (Chia-Lin) +2 more
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Time-Frequency Volatility Spillovers among Major International Financial Markets: Perspective from Global Extreme Events [PDF]
, 2023 Yao Xiao +5 more
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Volatility Spillover Among Equity and Commodity Markets
SAGE Open, 2020 This study aims to examine volatility spillover among equity and commodity markets of the United States. The analysis focuses on crude oil (Brent and WTI [West Texas Intermediate]), rice, and gasoline.
Tariq Aziz +3 more
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Analysis of meat price volatility and volatility spillovers in Finland
Agricultural Economics (AGRICECON), 2020 Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products.
Marwa Ben Abdallah +2 more
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Volatility spillover in Indonesia, USA, and Japan capital market [PDF]
Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets.
Mulyadi, Martin Surya
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Impact of Brexit on bond yields and volatility spillover across France, Germany, UK, USA, and India’s debt markets [PDF]
, 2022 Sangeetha G Nagarakatte +1 more
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