Results 11 to 20 of about 2,098 (259)
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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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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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-spillover effects in european stock markets [PDF]
SSRN Electronic Journal, 2008 Durante as últimas décadas, temos visto como diferentes crises financeiras, que tiveram a sua origem em determinadas regiões ou países, se estenderam depois geograficamente, daí que, entender a volatilidade nos diversos mercados de acções se tenha tornado bastante importante para aqueles que têm que tomar as correctas decisões sobre a alocação de ...
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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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Energies, 2023 After the official launch of China’s unified carbon market, the potential for carbon emission reduction is huge. The pilot regional markets urgently need to be connected with the national carbon market to form a regional synergy and linkage mechanism and
Jing Liu +5 more
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