Results 1 to 10 of about 1,725 (165)
Cogent Economics and Finance, 2016 This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey.
Lidija Dedi +2 more
exaly +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
doaj +9 more sources
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
doaj +1 more source
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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A test for volatility spillovers [PDF]
Economics Letters, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Martin Sola +2 more
openaire +1 more source
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
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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Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?
Energies, 2020 This paper examines the spillovers of return and volatility transmitted from fossil energies (crude oil and natural gas) and several important financial variables (stock market index, bonds, and the volatility index) to renewable stock markets in the US ...
Tiantian Liu, Shigeyuki Hamori
doaj +1 more source