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Return and volatility spillovers among cryptocurrencies
Economics Letters, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Nonlinear GARCH Models and Volatility Spillover
SSRN Electronic Journal, 2005We extend the class of GARCH models to comprise asymmetric and nonlinear effects on volatility. In particular, we do not only explain future volatility of a time series on its own past, but allow for external influences and spillovers between capital markets.
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VOLATILITY SPILLOVER BETWEEN FINANCIAL MARKETS
2017Bu çalışmada ABD, Kanada, Çin,Japonya, Güney Kore, Almanya, İngiltere, İsviçre ve Yunanistan hisse senedipiyasalarından kırılgan sekizlilerin (Brezilya, Hindistan,Endonezya, Güney Afrika, Türkiye, Macaristan, Polonya ve Şili) hisse senedipiyasalarına doğru oynaklık yayılımı 2006-2015 dönemine ilişkin haftalık veriseti kullanılarak incelenmiştir ...
DEĞİRMENCİ, Nurdan, ABDİOĞLU, Zehra
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Volatility spillover effects amongsix Asian countries
Applied Economics Letters, 2009This article examines the volatility spillover effects among six Asian country stock markets using bivariate vector autoregression-generalized autoregressive conditional heteroskedasticity [VAR(p)-...
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Better to give than to receive: Predictive directional measurement of volatility spillovers
International Journal of Forecasting, 2012Kamil Yilmaz
exaly
The Cross-Section of Volatility and Expected Returns
Journal of Finance, 2006Andrew Ang +2 more
exaly
High idiosyncratic volatility and low returns: International and further U.S. evidence
Journal of Financial Economics, 2009Robert J Hodrick +2 more
exaly