Results 11 to 20 of about 1,824 (264)
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
openaire +5 more sources
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
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
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
openaire +2 more sources
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
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
openaire +1 more source
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.
openaire +1 more source
Measuring Persistence in Volatility Spillovers [PDF]
SSRN Electronic Journal, 2013 This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional variance is even more persistent than the effect of an own ...
Conrad, Christian, Weber, Enzo
openaire +8 more sources
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
doaj +1 more source