Results 221 to 230 of about 2,098 (259)

Asymmetrical Volatility and Spillover Effects

2017
This chapter takes a closer look at the volatility-specific component of beta. Some financial practitioners have advocated the use of relative volatility, standing alone, as a risk measure. This decision would eliminate the correlation component and its insights into the diversification value of financial portfolios.
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Volatility Spillover Effect from Volatility Implied Index to Emerging Markets [PDF]

Journal of Banking and Financial Markets, 2009
This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news concludes that volatility further increases.
Turhan Korkmaz, Emrah Ismail Çevik
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Volatility Spillovers with Spatial Effects on the Oil and Gas Market

SSRN Electronic Journal, 2018
The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility model. We also use DCC, GO-GARCH and ADCC models as a benchmark.
Efrosiniya Karatetskaya, Valeria Lakshina   +1 more
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Empirical Study on the Volatility Spillover Effect in “China Concept” Shares

2011
Our study examined the volatility spillover effects in “China Concept” shares. Both a variance decomposition analysis and a DCC-MVGARCH model show that “China Concept” shares returns are driven more by US market returns than Chinese stock market. Although it do not exist volatility spillovers effects among the Chinese stock market and “China Concept ...
Danping Wu, Charlene Xie, Xiaoling Hu 0007   +2 more
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Volatility Spillover Effects in Emerging MENA Stock Markets

2011
International stock markets worldwide experienced a downturn in stock prices and activities following the subprime mortgage crisis in the U.S. in mid-2008. This suggests that stock prices volatility do spillover from one market to another. Thus, the purpose of this paper is to investigate the international transmission of daily stock index volatility ...
Abou-Zaid, Ahmed S., Abou-Zaid, Ahmed S.
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Implied volatility spillovers and the effect of news announcements

Journal of Banking and 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
Jiang, George, Konstantinidi, Eirini, Skiadopoulos, George   +2 more
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Global and regional range-based volatility spillover effects

Emerging Markets Review, 2013
Abstract This study extends the univariate Weibull conditional autoregressive range (CARR) model to establish a bivariate Weibull CARR (BWCARR) model to investigate the range-based volatility spillover effect. The empirical results indicate that a conditional autoregressive range relationship exists on the US, Japan, mainland China, Hong Kong and ...
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Volatility Spillover Effects in Greek Consumer Meat Prices

2003
This paper investigates volatility spillover effects, i.e. 'meteor showers' and 'heat waves', across consumer meat prices for lamb, beef, pork, and poultry. The empirical analysis used the methodology of the Generalized Autoregressive Conditional Heteroskedastic (GARCH) approach. The empirical results support the presence of significant 'meteor shower'
Rezitis, Anthony N., Rezitis, Anthony N.
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Volatility Spillover Effect Acrossbric Nations: An Empirical Study

Paradigm: A Management Research Journal, 2010
Financial contagion is a contemporary phenomenon which has put a question mark on cross-border diversification of funds. This problem has crept in, in the connivance of growth and liberalization of capital market. It has become practically impossible to quarantine any market from the rest.
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HIGH PRICE VOLATILITY AND SPILLOVER EFFECTS IN ENERGY MARKETS

2011
Replaced with revised version of paper 07/22/11.
Singh, Aaron, Karali, Berna, Ramirez, Octavio A., Singh, Aaron, Karali, Berna, Ramirez, Octavio A.   +5 more
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