Results 261 to 270 of about 241,709 (291)

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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Asymmetric Volatility and Volatility Spillovers

2016
Why indeed is volatility asymmetrical? Wholly apart from their epochal methodological contributions, providing an answer to this question may be the greatest theoretical advance traceable to time series models. This chapter will explore three distinct accounts of asymmetrical volatility.
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Macro determinants of volatility and volatility spillover in energy markets

Energy Economics, 2014
Abstract We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations.
Berna Karali, Octavio A. Ramirez
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Robust Score and Portmanteau Tests of Volatility Spillover

SSRN Electronic Journal, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Aguilar, Mike, Hill, Jonathan B.
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Dynamic Linkages and Volatility Spillover

2016
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of India. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Bhaskar Bagchi, Dhrubaranjan Dandapat, Susmita Chatterjee   +2 more
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Wide Volatility Spillover Networks

SSRN Electronic Journal, 2014
We introduce a conditional volatility model that combines persistent volatility dynamics with spillovers from a wide cross-section of assets. We use elastic net estimation on a large, restricted VAR of realized measures to model these volatility dynamics.
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Interest-rate volatility and volatility spillovers in emerging Europe

International Review of Applied Economics, 2011
While many transition economies – particularly those that hope to join the Euro – have seen their economies converge to Europe’s, this process is by no means complete. Considerable macroeconomic volatility persists. This study examines the variability of the short-term nominal interest rates of ten transition economies, finding that eight of them ...
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Asymmetrical Volatility and Spillover Effects

2017
This chapter takes a closer look at the volatility-specific component of beta. Some financial practitioners have advocated the use of relative volatility, standing alone, as a risk measure. This decision would eliminate the correlation component and its insights into the diversification value of financial portfolios.
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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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The impact of EPU spillovers on the bond market volatility: Global evidence

Finance Research Letters, 2023
Wenjun Xue, Yuting Gong
exaly