Time-Frequency Volatility Spillovers among Major International Financial Markets: Perspective from Global Extreme Events [PDF]
Discrete Dynamics in Nature and Society, 2023 In the context of the gradual intensification of the Russia-Ukraine conflict and the continuous spread of the COVID-19 pandemic, this paper concentrates on the impact of global extreme events such as the COVID-19 pandemic and the Russia-Ukraine conflict ...
Yao Xiao +5 more
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Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs. [PDF]
Ann Oper Res, 2022 Rizvi SKA, Naqvi B, Mirza N.
europepmc +3 more sources
Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre [PDF]
International Review of Economics & Finance, 2020 Corbet S, Hou Y, Hu Y, Oxley L, Xu D.
europepmc +2 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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Analyzing risk contagion and volatility spillover across multi-market capital flow using EVT theory and C-vine Copula. [PDF]
HeliyonAfzal F, Pan H, Afzal F, Gul RF.
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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.
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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
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