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Finite-Length Spatiotemporal Modelling for Housing Price Network Spillovers. [PDF]

Entropy (Basel)
Qiu L, Jiao Y, Dong G, Cui G.
europepmc   +1 more source

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Volatility spillovers in commodity markets

Applied Economics Letters, 2013
This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995–2012, we address three key research questions: are there volatility spillovers within commodities? between standard assets and commodities?
Julien Chevallier, Florian Ielpo
exaly   +3 more sources

PORTFOLIO VOLATILITY SPILLOVER

International Journal of Theoretical and Applied Finance, 2022
In this paper, the authors estimate portfolio volatilities and use variance−decomposition techniques and Cholesky factorization to construct a portfolio volatility spillover index. Furthermore, the authors show that spillover risks are persistent and much more common than well-known indicators like the turbulence index and the CBOE VIX index might ...
GUEORGUI S. KONSTANTINOV, FRANK J. FABOZZI   +1 more
openaire   +1 more source

Bootstrapping volatility spillover index

Communications in Statistics - Simulation and Computation, 2018
Concentrating on confidence interval, a bootstrapping method is developed for volatility spillover index proposed by Diebold and Yilmaz via a vector autoregressive (VAR) model.
Ji-Eun Choi, Dong Wan Shin
openaire   +2 more sources

Volatility spillovers and the effect of news announcements

Journal of Banking & Finance, 2012
We examine the effect of US and European news announcements on the spillover of volatility across US and European stock markets. Using synchronously observed international implied volatility indices at a daily frequency, we find significant spillovers of implied volatility between US and European markets as well as within European markets. We observe a
George J. Jiang, Eirini Konstantinidi, George S. Skiadopoulos   +2 more
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Simultaneous Volatility Transmission and Spillover Effects [PDF]

Review of Pacific Basin Financial Markets and Policies, 2010
Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets.
openaire   +2 more sources

Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model

Journal of Forecasting, 2018
A recent study by Rapach, Strauss, and Zhou (Journal of Finance, 2013, 68(4), 1633–1662) shows that US stock returns can provide predictive content for international stock returns. We extend their work from a volatility perspective. We propose a model, namely a heterogeneous volatility spillover–generalized autoregressive conditional heteroskedasticity
Yudong Wang, Zhiyuan Pan, Chongfeng Wu
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Subprime crisis and volatility spillover

International Journal of Monetary Economics and Finance, 2011
The subprime financial crisis has sparked our interest in identifying channels through which US crisis spread across 20 developed and emerging stock markets. Empirical results of GARCH and EGARCH estimated models show a high persistence and asymmetric effect of volatility.
Mouna Abdelhedi Zouch, Mouna Boujelbene Abbes, Younes Boujelbene   +2 more
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Volatility spillover in seafood markets

Journal of Commodity Markets, 2018
Abstract There is a considerable body of research studying market integration in seafood, focusing on the relationship between prices. In this paper, we consider market connectedness, assessing volatility spillover between the world's three largest seafood markets, the EU, Japan and the USA, for fish and crustaceans. The data spans from 1990 to 2015,
Roy Endré Dahl, Erlendur Jonsson
openaire   +1 more source