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Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice [PDF]
Energies, 2018 Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one ...
Chia-Lin Chang +2 more
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Networks of Volatility Spillovers among Stock Markets [PDF]
Physica A: Statistical Mechanics and its Applications, 2017 In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting
Baumöhl, Eduard +3 more
core +2 more sources
A test for volatility spillovers [PDF]
Economics Letters, 2002 This paper proposes a new procedure for analyzing volatility links between di®erent markets based on a bivariate Markov switching model.
Sola, M, Spagnolo, F, Spagnolo, N
core +3 more sources
Economic Journal of Emerging Markets, 2011 This paper uncovers the nature of conditional correlations between and volatility spillovers across bond, stock and foreign exchange in Indonesia, Malaysia, the Philippines, and Thailand.
Abdul Hakim
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Volatility Spillovers of Sharia Index during the Covid-19 Pandemic in ASEAN [PDF]
International Journal of Data and Network Science, 2021 This study aims to the rise in global economic integration is due to an expansion in volatility spillovers. Therefore, it is extraordinarily necessary to analyze the volatility spillovers for growing and developed international locations through the use ...
Suripto Suripto
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Volatility Spillovers among Cryptocurrencies [PDF]
Journal of Risk and Financial Management, 2021 The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins.
openaire +2 more sources
COVID-19 and uncertainty spillovers in Indian stock market
MethodsX, 2021 In this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19.
Biplab Kumar Guru, Amarendra Das
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Valuing volatility spillovers [PDF]
Global Finance Journal, 2006 Abstract We show that volatility spillovers are large enough to matter to investors. We demonstrate that standard deviations of returns to mean-variance portfolios of European equities fall by 1–1.5% at daily, weekly, and monthly rebalancing horizons when volatility spillovers are included in covariance forecasts.
George Milunovich, Susan Thorp
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Intraday Volatility Spillovers among European Financial Markets during COVID-19
International Journal of Financial Studies, 2021 During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe.
Faheem Aslam +3 more
doaj +1 more source
Dynamic Network Connectedness of Bitcoin Markets: Evidence from Realized Volatility
Frontiers in Physics, 2020 In this paper, we explore the volatility spillovers across different Bitcoin markets. We decompose the realized volatility into common and idiosyncratic volatilities, as well as the good and bad volatilities.
Shuanglian Chen, Hao Dong
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