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Analysis of meat price volatility and volatility spillovers in Finland [PDF]
Agricultural Economics (Zemědělská ekonomika), 2020 Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products. A persistent volatility in prices causes continued uncertainty in the market.
Marwa Ben Abdallah +2 more
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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 Spillover and International Contagion of Housing Bubbles [PDF]
Journal of Risk and Financial Management, 2021 This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive ...
Jean-Louis Bago +3 more
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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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Survey of Volatility and Spillovers on Financial Markets [PDF]
Prague Economic Papers, 2018 In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric techniques.
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Volatility and Spillover Effects of Yen Interventions
Review of International Economics, 2013 AbstractWe consider the effects of interventions by the Bank of Japan's (BoJ) on the intraday volatility of the US dollar/Japanese yen (USD/JPY) exchange rates and their spillovers to volatility of the euro/JPY exchange rates. We use 15‐minute data during the period 2000–2004 and employ multivariate generalized autoregressive conditional ...
Chortareas, Georgios +2 more
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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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Borsa Istanbul Review, 2017 This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs) using multivariate-GARCH (MGARCH) models and their variants.
Dahiru A. Bala, Taro Takimoto
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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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