Results 21 to 30 of about 2,098 (259)
Extreme Spillover Effects of Volatility Indices
Journal of Economic Research (JER), 2012 In this study, we analyse contagion effects and extreme comovements of equity and volatility indices in major international markets. The tail dependence coecients (TDCs) increase during a financial crisis, especially for the lower TDCs of stock index returns and upper TDCs of volatility index returns.
null Yue Peng, null Wing Lon Ng
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Impact persistence of stock market risks in commodity markets: Evidence from China.
PLoS ONE, 2021 The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets ...
Shusheng Ding +5 more
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Analysis of meat price volatility and volatility spillovers in Finland
Agricultural Economics (AGRICECON), 2020 Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products.
Marwa Ben Abdallah +2 more
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How does sovereign bond volatility interact between African countries? [PDF]
Seonmul yeongu, 2022 The importance of sovereign bond as a source of financing revenue deficit, benchmarking for corporate bonds and debt management in Africa, calls for continual monitoring of its volatility dynamics.
Kalu O. Emenike
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Journal of Finance and Data Science, 2017 This study investigates the volatility spillover effect among Asian emerging markets in pre and post 2007 financial crisis period. The sample includes five emerging markets of Asia named; China, Pakistan, Hong Kong, Sri Lanka, and India.
Khalil Jebran +3 more
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Volatility Spillover Effect in Indian Stock Market
Janapriya Journal of Interdisciplinary Studies, 2017 The study aims to empirically examine the transmission of volatility from global stock markets to Indian stock market. The study is based on time series data comprising of daily closing stock market indices from National Stock Exchange (NSE), India and major foreign stock exchange of the three countries one each from America, Europe and Asia making the
Rajesh Kumar Thagurathi +2 more
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Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis [PDF]
Finance Research Letters, 2018 Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility dynamics along with interlinkages and conditional correlations between three pairs of cryptocurrencies, namely Bitcoin-Ether, Bitcoin-Litecoin, and Ether-Litecoin.
Paraskevi Katsiampa +2 more
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Regime specific spillover across cryptocurrencies and the role of COVID-19
Financial Innovation, 2021 The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (
Syed Jawad Hussain Shahzad +3 more
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Volatility Spillover Effects Between Carbon Futures and Stock Markets: A DGC-t-MSV-BN Model
MathematicsThis paper applies the Multivariate Stochastic Volatility (MSV) model, alongside its extended DGC-t-MSV model, and integrates Bayesian methods with MCMC techniques to develop the DGC-t-MSV-BN model.
Jining Wang, Tian Man, Lei Wang
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Media Statistika, 2020 Beef consumption in Indonesia tends to increase and its price fluctuates. In addition to internal factors, the volatility of beef inflation can also be influenced by other regions (spillover effect).
Ribut Nurul Tri Wahyuni +1 more
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