Results 21 to 30 of about 4,493 (309)
Studia Universitatis Babes-Bolyai Oeconomica, 2023 Abstract This study investigates the spillover effects of ESG scores from companies operating in the same industry and their impact on stock return volatility. For this purpose, I considered a sample of European listed companies from 2019 to 2022.
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Humanities & Social Sciences Communications, 2023 This article investigates the time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis. By employing wavelet analysis, we find that: (i) As the timescale increases, the volatility spillovers ...
Liang Wang, Xianyan Xiong, Ziqiu Cao
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Dynamic volatility spillover between oil and marine shipping industry
Energy Reports, 2023 Oil consumption not only makes up a large percentage of the overall operating expenses for the marine shipping industry, besides that, the tanker sector is a major carrier of global oil supply, which magnifies the relevance of oil market for the shipping
Adeel Riaz +3 more
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Volatility Spillovers Across Petroleum Markets [PDF]
The Energy Journal, 2015 By using our newly defined measure, we detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive fin-ancialization of the commodities.
Jozef Barunik +2 more
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Volatility-Spillover Effects in European Bond Markets [PDF]
SSRN Electronic Journal, 2003 We analyze volatility spillover from the US and aggregate European bond markets into individual European bond markets using a GARCH volatility-spillover model. We find strong statistical evidence of volatility spillover from the US and aggregate European bon markets.
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Measuring Persistence in Volatility Spillovers [PDF]
SSRN Electronic Journal, 2013 This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional variance is even more persistent than the effect of an own ...
Conrad, Christian, Weber, Enzo
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PLoS ONE, 2023 This study employs a bivariate GARCH model to examine the influence of the COVID-19 pandemic on the interactions of the commodities in the agricultural market via a connectedness network approach.
Jung-Bin Su
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Frontiers in Energy Research, 2020 We study the time-frequency dynamics of stochastic volatility spillovers between international crude oil markets and China's commodity sectors in the spectral representation framework of generalized forecast error variance decomposition (GFEVD).
Zhenghui Li, Yaya Su
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Are the systemic risk spillovers of good and bad volatility in oil and global equity markets alike?
Energy Strategy Reviews, 2023 This paper explores the asymmetric connectedness of systemic risk between the oil and global stock markets in both the time and frequency domains. To do so, we introduce time-varying parametric vector autoregressive (TVP-VAR) spillover index models and ...
Qichang Xie, Jingrui Qin, Jianwei Li
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Discrete Dynamics in Nature and Society, 2022 Using the Baruník and Křehlík spillover index, the study examines the dynamic connectedness and spillovers between Islamic and conventional (G6) bond markets to reveal the time- and frequency-domain dynamics of the two asset classes under different ...
Peterson Owusu Junior
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