Results 11 to 20 of about 241,709 (291)
Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets. [PDF]
Empir Econ, 2023 This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine volatility spillover relations, we combine a bivariate GARCH-BEKK model with complex network theory.
Korkusuz B, McMillan DG, Kambouroudis D.
europepmc +2 more sources
Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis [PDF]
, 2009 This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and ...
Spagnolo, N +3 more
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Volatility spillovers and contagion from mature to emerging stock markets [PDF]
, 2009 This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism—contagion during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and
Spagnolo, N +3 more
core +7 more sources
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
doaj +1 more source
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
openaire +3 more sources
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
doaj +1 more source
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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Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro [PDF]
, 2012 This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility ...
Antonakakis, Nikolaos
core +1 more source
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
doaj +1 more source
Volatility Spillover and International Contagion of Housing Bubbles [PDF]
Journal of Risk and Financial Management, 2021 This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive ...
Jean-Louis Bago +3 more
openaire +2 more sources