Results 261 to 270 of about 30,423 (304)

Windowed volatility spillover effects among crude oil prices

Energy, 2020
Abstract This paper investigates the volatility spillover effects among different oil prices by examining a short-term rolling window, named the windowed volatility spillover effects, and its dynamic evolution process. Using nine international crude oil prices as sample data, we establish thousands of spillover networks evolving into each other, in ...
Sufang An, Xiangyun Gao, Haizhong An, Feng An, Qingru Sun, Siyao Liu   +5 more
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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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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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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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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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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 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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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.
openaire   +3 more sources