Results 11 to 20 of about 35,694 (306)
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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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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Volatility term structures in commodity markets [PDF]
, 2019 In this study, we comprehensively examine the volatility term structures in commodity markets. We model state‐dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity ...
Goyal A. +3 more
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Studia Universitatis Babes-Bolyai Oeconomica, 2023 Abstract This study investigates the spillover effects of ESG scores from companies operating in the same industry and their impact on stock return volatility. For this purpose, I considered a sample of European listed companies from 2019 to 2022.
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Humanities & Social Sciences Communications, 2023 This article investigates the time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis. By employing wavelet analysis, we find that: (i) As the timescale increases, the volatility spillovers ...
Liang Wang, Xianyan Xiong, Ziqiu Cao
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