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Conditional Volatility Spillover Effects Across Emerging Financial Markets
Asia-Pacific Journal of Financial Studies, 2015AbstractWe find that emerging markets were not spared from the 2007 global financial crisis and 2009 European debt crisis. Volatility spillovers are pronounced during these financial crises. Much of the strong volatility spillover effects were from high cross‐market volatility movements in response to external shocks since the existing interdependence ...
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Dynamic volatility spillover effects between oil and agricultural products
International Review of Financial Analysis, 2020Abstract The strong volatility spillover between crude oil and agricultural commodity markets reduces the diversification benefits and implies costly risk management process faced by portfolio managers and agricultural producers. This paper proposes a comprehensive study of their dynamic implied volatility spillover effects after the global financial
Pick Schen Yip +3 more
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Volatility Spillover Effects: VIX and Precious Metals
The Journal of Wealth Management, 2020The increased volatility of precious metals and other commodities has become more commonplace because of the volatile global economic environment. This study examines the relationship between market volatility and precious metals. VIX Index, which reflects investor’s sentiments, is used as a proxy for market volatility.
Mukesh K. Chaudhry, Vivek Bhargava
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Global and regional range-based volatility spillover effects
Emerging Markets Review, 2013Abstract 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 effect between internet finance and banks
Journal of Business Research, 2022Zhenlong Chen +2 more
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Government Bonds and Stock Market : Volatility Spillover Effect
Indian Journal of Research in Capital Markets, 2021Muhammadriyaj Faniband, Taranum Faniband
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Spillover Effects in the Volatility of Financial Markets
2012Recent econometric and statistical models for the analysis of volatility in financial markets serve the purpose of incorporating the effect of other markets in their structure, in order to study the spillover or the contagion phenomena. Extending the Multiplicative Error Model we are able to capture these characteristics, under the assumption that the ...
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Implied volatility spillovers and the effect of news announcements
Journal of Banking and Finance, 2012We 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 +2 more
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