Results 261 to 270 of about 4,493 (309)

Assessing the risk spillover effects between the Chinese carbon market and the US-China energy market. [PDF]

Heliyon
Yan J, Işık C.
europepmc   +1 more source

The wave-particle duality of corporate financial metrics. [PDF]

PLoS One
Zhu W, Lyu J, Li X, Chen Z.
europepmc   +1 more source

Essays on the volatility and spillover effects of oil and food price shocks

, 2012
Fardous Alom
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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
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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
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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.
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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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Trading with Asymmetric Volatility Spillovers

Journal of Business Finance & Accounting, 2003
Abstract:  We study the profitability of trading strategies based on volatility spillovers between large and small firms. By using the Volatility Impulse‐Response Function of Lin (1997) and its extensions, we detect that any volatility shock coming from small companies is important to large companies, but the reverse is only true for negative shocks ...
Ángel Pardo Tornero, Hipòlit Torró
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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?
Ielpo, Florian, Chevallier, Julien
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