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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
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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
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Cross-Market Spillovers with Volatility Surprisee [PDF]
SSRN Electronic Journal, 2014 AbstractThis article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross‐market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect cross‐effects between the conditional variances.
Aboura, Sofiane, Chevallier, Julien
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Cogent Economics & Finance, 2023 The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock ...
Shubham Kakran +3 more
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Emerging Market Volatility Spillovers [PDF]
The American Economist, 2018 We address the importance of emerging market economies for the global economy by testing for volatility spillovers between the United States and a number of emerging market economies. We use the methodology recently introduced by Diebold and Yilmaz and daily data, over the period from December 8, 2011, to March 21, 2018, on exchange-traded funds (ETFs),
Apostolos Serletis, Nahiyan Faisal Azad
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Mathematics, 2023 We explore the dynamics and determinants of volatility spillover between financial technology (FinTech) and the traditional financial industry (TFI).
Ziyao Wang +3 more
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Volatility spillover effect in Western Balkans [PDF]
Acta Oeconomica, 2018 This article examines volatility spillover among Western Balkan’s stock markets and selected developed markets. If there is an evidence of weak linkage between various markets, then there are potential benefits that could arise from international diversification. However, if we analyse the relationship between two markets that are different in terms of
Latinovic, Milica +2 more
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Networks of volatility spillovers among stock markets [PDF]
Physica A: Statistical Mechanics and its Applications, 2017 Abstract In our network analysis of 40 developed, emerging and frontier stock markets during the 2006–2014 period, we describe and model volatility spillovers during both the global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics.
Baumöhl, Eduard +3 more
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Discrete Dynamics in Nature and Society, 2022 This paper analyzes the dynamic time-frequency volatility spillovers among the international stock markets during the Russian-Ukraine conflict. We use the VAR-based connectedness framework to calculate the volatility spillovers. Results show that (1) the
Sixu Mu +3 more
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