Results 211 to 220 of about 2,098 (259)

Simultaneous Volatility Transmission and Spillover Effects [PDF]

Review of Pacific Basin Financial Markets and Policies, 2010
Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets.
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Volatility spillovers and the effect of news announcements

Journal of Banking & Finance, 2012
We examine the effect of US and European news announcements on the spillover of volatility across US and European stock markets. Using synchronously observed international implied volatility indices at a daily frequency, we find significant spillovers of implied volatility between US and European markets as well as within European markets. We observe a
George J. Jiang, Eirini Konstantinidi, George S. Skiadopoulos   +2 more
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Volatility spillover effects in interbank money markets

Review of World Economics, 2016
Using daily data from 2006 to 2015, this paper applies alternative multivariate GARCH models and a modified version of the spillover index methodology proposed by Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) to test the existence of shock and volatility contagion effects across interbank money markets.
Pedro Pires Ribeiro, José Dias Curto
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Structural effects and spillovers in HSIF, HSI and S&P500 volatility [PDF]

Research in International Business and Finance, 2004
We adopt a BEKK-GARCH framework and employ a systematic approach to jointly examine structural breaks in the Hong Kong cash index and index futures volatility and volatility spillovers from the S&P 500 cash and futures. Multiple switching dummy variables are included in the variance equations to test for any structural changes in the autoregressive ...
Gerard Gannon, Siu Pang Au-Yeung
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On Spillover Effect of RMB Exchange Rate Volatility

2008 International Seminar on Business and Information Management, 2008
Since the reform of RMB exchange rate regime in 2005, RMB exchange rate is much more flexible and volatile. The status and influence of RMB are greater with the sustained growth of Chinese economy. This paper investigates the spillover effect of RMB exchange rate on other currencies, especially Asian currencies using the multivariate GARCH model ...
Jiaping Zhang, Min Fan, Xiaojian Yu
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RETURN AND VOLATILITY SPILLOVER EFFECTS IN LEADING CRYPTOCURRENCIES

Global Economy Journal, 2019
As Cryptocurrencies are emerging as a new class of investment assets, understanding their price and volatility dynamics has begun to gather momentum, especially the volatility can influence investment decisions. Most of previous literature concentrates primarily on several aspects of Bitcoin and endeavoring to generalize them for the whole ...
SRINIVASAN PALAMALAI, BIPASHA MAITY
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VOLATILITY SPILLOVER EFFECT ON NONLINEAR CAUSALITY TESTS

Far East Journal of Theoretical Statistics, 2018
Summary: This study investigates the effect of volatility spillover on nonlinear causality tests. We employ three nonlinear causality tests as logistic smooth transition, exponential smooth transition and time-varying models. These three causality tests include usual asymptotic test, heteroskedasticity-robust tests using the heteroskedasticity ...
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Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations

Mathematics and Computers in Simulation, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Suhejla Hoti, Michael McAleer, Felix Chan   +2 more
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Interindustry volatility spillover effects in China’s stock market

Physica A: Statistical Mechanics and its Applications, 2020
Abstract In this paper, we apply a spillover index method to investigate the interindustry volatility spillovers in Shanghai Stock Exchange during 2009 to 2018. This method is widely used for information spillover behavior between different financial time series. The empirical result indicates that there are some closely related industry pairs in the
Kedong Yin, Zhe Liu, Xue Jin
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Volatility spillover effects amongsix Asian countries

Applied Economics Letters, 2009
This article examines the volatility spillover effects among six Asian country stock markets using bivariate vector autoregression-generalized autoregressive conditional heteroskedasticity [VAR(p)-...
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