Results 101 to 110 of about 35,694 (306)

A Multivariate Analysis of United States and Global Real Estate Investment Trusts [PDF]

, 2016
Using daily data for the period February 2006 to July 2013 we examine the return and volatility linkages between the two main United States REIT sub-sectors and global linkages between the Americas, Europe and the Asia Pacific regions using the BEKK ...
A Rua, A Subrahmanyam, C Morana, D Asteriou, Dimitrios Asteriou, FS Mishkin, GD Chang, J Chong, J Cotter, J Soares da Fonseca, K Liow, Keith Pilbeam, Kyriaki Begiazi, L Bauwens, L He, L Mondal, M Devaney, ML Lee, N Philippas, N Yunus, P Singh, RF Engle, RF Engle, RF Engle, RF Engle, RF Engle, S Bond, S Stevenson, T Bollerslev   +28 more
core   +1 more source

Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums

Journal of Futures Markets, EarlyView.
ABSTRACT By decomposing West Texas Intermediate futures price changes into structural supply and demand shocks, this paper shows that dissecting the oil price significantly improves inflation forecasts. Empirically, demand‐driven shocks predict a negative real bond risk premium but a positive inflation risk premium; these opposing effects result in an ...
Haibo Jiang
wiley   +1 more source

Asymmetric Volatility Spillovers in Varying Market Conditions and Portfolio Performance Analysis of the South African Foreign Exchange Market

Economies
This paper investigates the dynamics of volatility spillovers in the South African foreign exchange market across calm and crisis periods, with particular attention paid to the pre- and post-COVID-19 eras.
Hamdan Bukenya Ntare, John Weirstrass Muteba Mwamba, Franck Adekambi   +2 more
doaj   +1 more source

Volatility spillover networks of credit risk: Evidence from ASW and CDS spreads in Turkey and Brazil [PDF]

Panoeconomicus
This study examines received and transmitted volatility spillovers of Credit Default Swap (CDS) and Asset-Swap Spread (ASW) for Brazil and Turkey. The empirical analysis is implemented using two country-based (stock markets and exchange rates) and two ...
Gunay Samet, Cevik Emrah Ismai, Dibooglu Sel   +2 more
doaj   +1 more source

Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets. [PDF]

Empir Econ, 2023
Korkusuz B, McMillan DG, Kambouroudis D.
europepmc   +1 more source

Volatility Spillovers in Agricultural Commodity Markets: An Application Involving Implied Volatilities from Options Markets [PDF]

Replaced with revised version of paper 07/22/11 and 2/14/2012.Volatility Spillovers, Implied Volatility, Structural Change, Risk and Uncertainty,
Goodwin, Barry K., Zhao, Jieyuan
core   +1 more source

On the Comovement of Contango and Backwardation Across Futures Commodity Markets

Journal of Futures Markets, EarlyView.
ABSTRACT We examine the time‐varying nature of the comovement of the slope of the futures curve in major agricultural, metals and energy commodity futures markets in a Global Vector Autoregressive model. We find significant comovement between the slopes, indicating the co‐existence of backwardation and contango in many seemingly unrelated commodity ...
Angelo Luisi, Francesco Roccazzella, Athanasios Triantafyllou   +2 more
wiley   +1 more source

Volatility Spillovers Between BRIC © CC BY 4.0 and South African Stock Markets: Evidence from the COVID‑19 and Russia‑Ukraine Crises

Review of Business and Economics Studies
The aim of this study was to assess how global crises influenced volatility spillovers between BRIC and South African stock markets. In conducting the study, the methods employed are the generalized autoregressive conditional heteroskedasticity (GARCH ...
Lorraine Muguto, Amy Moodley, Santhiran Pillay, Mcabangomuhle Zulu, Nonkululeko Vilakazi, Hilary Tinotenda Muguto, Paul Francois Muzindutsi   +6 more
doaj   +1 more source

Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic. [PDF]

J Econ Asymmetries, 2022
Vuong GTH, Nguyen MH, Huynh ANQ.
europepmc   +1 more source

Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil [PDF]

This study investigates volatility spillovers between two stock markets, Turkish and Brazilian, located in different regions of the world. Using a misspecification robust causality-in-variance test, we found strong evidence supporting volatility ...
Abdullah Yalama, Murat Tasdemir
core