Results 11 to 20 of about 30,423 (304)
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
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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
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Mathematics, 2023 With the accelerated pace of financial globalization and the gradual increase in linkages among financial markets, correctly identifying and describing the risk spillover and network diffusion in the financial system is extremely important for the ...
Sun Meng, Yan Chen
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Investigating and Analyzing the Spillover Effects among Stock, Currency, Gold, and Commodity Markets: VARMA-BEKK-AGARCH Approach [PDF]
تحقیقات مالی, 2023 Objective: In recent years, the increasing speed of information transfer and market connectedness has caused markets to converge and affect each other. The spillover effect occurs when the return or volatility of one market cause fluctuation in another ...
Mohammadbagher Mohammadinejad Pashaki +2 more
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Testing the volatility spillover between crude oil price and the U.S. stock market returns [PDF]
Management Science Letters, 2019 The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016.
Mehmet Kondoz +3 more
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Cogent Economics & Finance, 2023 It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes.
Hideto Shigemoto, Takayuki Morimoto
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Volatility Spillover Effects in European Equity Markets [PDF]
Journal of Financial and Quantitative Analysis, 2002 AbstractThis paper investigates to what extent globalization and regional integration lead to increasing equity market interdependence. I focus on Western Europe, as this region has gone through a unique period of economic, financial, and monetary integration.
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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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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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Dynamic Spillover and Hedging among Carbon, Biofuel and Oil
Energies, 2020 In recent years, there has been growing interest in the market interactions between carbon (or clean/renewable energy) and traditional fossil energy such as coal and oil, but few studies have discussed their dynamic volatility spillover and time-varying ...
Yeonjeong Lee, Seong-Min Yoon
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