Results 1 to 10 of about 2,098 (259)
Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets [PDF]
Mathematics, 2021 This study assesses the spillover effect of the listed property companies that cover pan-Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan, China, the Philippines, and Hong Kong.
Mário Nuno Mata +3 more
doaj +5 more sources
Volatility‐Spillover Effects in European Bond Markets [PDF]
European Financial Management, 2007 Abstract Volatility spillover from the US and aggregate European bond markets into individual European bond markets using a GARCH volatility‐spillover model is analysed. Strong statistical evidence of volatility spillover from the US and aggregate European bond markets is found. For EMU countries, the US volatility‐spillover effects are rather weak (in
Charlotte Christiansen
exaly +2 more sources
Volatility spillover and hedging strategies between the European carbon emissions and energy markets
Energy Strategy Reviews, 2023 Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration.
Chun-Ping Chang
exaly +3 more sources
Cogent Food & Agriculture, 2023 With the increased opening of China’s dairy industry to the outside world and the cost advantages of imported dairy products, China’s dairy product import trade has grown rapidly in recent years.
Qianqian Wang +2 more
doaj +1 more source
Energies, 2023 Based on the spillover index and an improved spillover asymmetric measure method, this paper studies the volatility spillover and its asymmetric effect between crude oil and agricultural commodity futures in pre- and post-outbreak of COVID-19.
Deyuan Zhang +3 more
doaj +1 more source
Volatility spillover effect in Western Balkans [PDF]
Acta Oeconomica, 2018 This article examines volatility spillover among Western Balkan’s stock markets and selected developed markets. If there is an evidence of weak linkage between various markets, then there are potential benefits that could arise from international diversification. However, if we analyse the relationship between two markets that are different in terms of
Latinovic, Milica +2 more
openaire +3 more sources
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
Revisiting spillover effect: An empirical evidence from GARCH-ARMA approach [PDF]
Industrija, 2021 This study analyzes the spillover effect of markets' commodity, exchange rate, and stock price. Starting from July 1, 2009, the daily data to December 31, 2019, are conducted in our study. The GARCH-ARMA approach has been undertaken in this study.
Dolfriandra Huruta Andrian +4 more
doaj +1 more source
On the Dynamic Connectedness of the Stock, Oil, Clean Energy, and Technology Markets
Energies, 2022 Using monthly data from September 2004 to February 2020, this paper investigates the connectedness of the renewable energy, common stock, oil, and technology markets.
Amirreza Attarzadeh, Mehmet Balcilar
doaj +1 more source
Are the systemic risk spillovers of good and bad volatility in oil and global equity markets alike?
Energy Strategy Reviews, 2023 This paper explores the asymmetric connectedness of systemic risk between the oil and global stock markets in both the time and frequency domains. To do so, we introduce time-varying parametric vector autoregressive (TVP-VAR) spillover index models and ...
Qichang Xie, Jingrui Qin, Jianwei Li
doaj +1 more source