Volatility spillovers - Open Access .click

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VOLATILITY SPILLOVER EFFECT ON NONLINEAR CAUSALITY TESTS

Far East Journal of Theoretical Statistics, 2018
Summary: This study investigates the effect of volatility spillover on nonlinear causality tests. We employ three nonlinear causality tests as logistic smooth transition, exponential smooth transition and time-varying models. These three causality tests include usual asymptotic test, heteroskedasticity-robust tests using the heteroskedasticity ...
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Impacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock markets

Resources Policy, 2023
Waqas Hanif, Mariya Gubareva, Tamara Teplova +2 more
exaly

Asymmetric volatility spillovers between crude oil and China's financial markets

Energy, 2021
Hu Wang
exaly

The impact of EPU spillovers on the bond market volatility: Global evidence

Finance Research Letters, 2023
Wenjun Xue, Yuting Gong
exaly

Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate

Energy Economics, 2020
Xunxiao Wang
exaly

Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence

Energy Economics, 2022
Zhenhua Liu, Pengxiang Zhai
exaly

Analyzing time-varying volatility spillovers between the crude oil markets using a new method

Energy Economics, 2020
Tangyong Liu, Xu Gong
exaly