Results 141 to 150 of about 35,694 (306)
Journal of Management Science and EngineeringThis study examines volatility spillovers among climate-policy-relevant sectors in the Chinese stock market across both time and frequency domains. It further explores the impact of climate policy uncertainty on the risk spillover effect in the Chinese ...
Zhiwei Zhang, Yahua Xu, Fei Su
doaj +1 more source
Better to give than to receive: predictive directional measurement of volatility spillovers [PDF]
, 2010 Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to variable ordering, we propose measures of both total and directional volatility spillovers.
Diebold, Francis X., Yilmaz, Kamil
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Realistic Representation, Dynamic Evolution and Determinants of Institutional Quality in China
International Studies of Economics, EarlyView.ABSTRACT The paper delves into the role of institutional quality in bolstering China's economic resilience post‐COVID‐19, CITIC‐Entropy. It divides institutions into basic and changeable categories, establishing an index system via the CITIC‐Entropy TOPSIS model.
Susu Wang, Qidi Zhang, Jing Fang
wiley +1 more source
Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil [PDF]
, 2010 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 ...
Tasdemir, Murat, Yalama, Abdullah
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Journal of Adolescence, EarlyView.ABSTRACT Introduction Technology plays a dual role in adolescents' lives, offering valuable avenues for social engagement and support while also introducing risks of social comparison, harassment, and loneliness. Qualitative data that centers on adolescent voices and contexts can illuminate the interplay of these protective and risk factors.
Xiaoqi Ma +5 more
wiley +1 more source
MathematicsThis paper examines tail risk spillovers and cross-market volatility forecasting between the U.S. equity market and the crude oil market. Using realized and implied volatility within a heterogeneous autoregressive (HAR) framework, we document asymmetric ...
Shaocong Peng, Yun Shi
doaj +1 more source
Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness [PDF]
We examine the influence of global and regional factors on the conditional distribution of stock returns from six Asian markets, using factor models in which unexpected returns comprise global, regional and local shocks.
Aamir R. Hashmi, Anthony S. Tay
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What Explains International Interest Rate Co‐Movement?
Journal of Applied Econometrics, EarlyView.ABSTRACT The international co‐movement of interest rates reflects correlated business‐cycle fluctuations, largely driven by demand shocks. Monetary policy in advanced economies follows domestic mandates—inflation and the output gap—and does not respond to foreign policy shocks.
Annika Camehl, Gregor von Schweinitz
wiley +1 more source
On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911 [PDF]
The present paper examines the dynamic effects of volatility spillovers and dominant role (the second-moment) of the US, Japan and Hong Kong in the East Asian equity markets.
Chan, Tze-Haw, Hooy, Chee Wooi
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Monetary Policy Shocks and Exchange Rate Dynamics in Small Open Economies
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper investigates whether the effects of monetary policy shocks on real exchange rates have changed over time and, if so, whether these changes stem from shifts in transmission mechanisms or from variation in the volatility of the shocks themselves.
Madison Terrell +3 more
wiley +1 more source