Volatility Spillover
VOLATILITY SPILLOVER BETWEEN SPOT AND FUTURES MARKET OF HIGHLY TRADED COMMODITIES IN INDIA: The DCC-GARCH Approach
... the volatility spillover effects and measure the time-varying correlations between futures and spot prices of thirteen highly traded commodities traded on Multi Commodity Exchange (MCX) of ...of ...
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Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism
... the volatility spillover effects be- tween the foreign exchange market and the stock market were bi-directional but asym- metric, with the volatility spillovers from the foreign exchange market to ...
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Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets
... the volatility spillover effect between the Taiwanese and Japanese stock ...cross-market spillover effect within each market, asymmetric effects, price leading effect, and volatility shocks ...
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The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets
... the volatility of asset markets is generalized autoregressive conditional heteroscedasticity (GARCH) models by specifying the conditional mean and conditional variance ...investigating volatility ...
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Volatility Spillover Effect of International Crude Oil Futures and China-Russia Stock Market: A Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution Analysis
... the volatility spillover effect of international crude oil futures price and China-Russia composite stock index and industry stock index, and investigates the linkage between crude oil and stock market by ...
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Financial market interdependencies: a quantile regression analysis of volatility spillover
... especially volatility spillover, particularly after the multiplicity of financial crises such as Mexico1994, Asia1997, Brazil 1998, Turkey 2001, and the recent 2008 subprime crisis as the mostly affecting ...
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Volatility Spillover from Oil to Food and Agricultural Raw Material Markets
... There are a group of studies that focus on transmission between various food markets. Rezitis [8] underlines that both farm and retail prices in Greece have significant effects on each other. Volatility ...
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A Comparison of the Economic Volatility Spillover Effect of Hong Kong with China and USA
... show volatility co-movement. It reflects that the volatility of the economic growth rate of both countries is affecting each ...of volatility spillover from China to Hong Kong, but not in the ...
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Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan
... the volatility spillover between the stock market and the foreign exchange market in ...the volatility spillover is modelled through bivariate EGARCH ...the volatility modelling show ...
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Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis
... and volatility spillovers by investigating EAGLEs stock market, which is a novel market ...the volatility spillover dynamics, this paper applies a multivariate GARCH dy- namic conditional correlation ...
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FII and Its Impact on Stock Market: A Study on Lead-Lag and Volatility Spillover
... less volatility to more ...of volatility will give us important information and will act as a measure to know as to how far the current prices of an asset deviate from its average past ...level, ...
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Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries
... investigates volatility spillover between stock market and for- eign exchange market in sample of different Asian ...address volatility spillover between stock market and foreign exchange ...
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Erratum to “Testing and Predicting Volatility Spillover—A Multivariate GJR GARCH Approach” [Theoretical Economics Letters, 2019, 9, 83 99]
... DBEKK volatility modeling. This model is useful for volatility predictions and decision making purpose by the investor and institu- tions in the multiple financial asset ...multivariate volatility ...
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Volatility Spillover Across GCC Stock Markets
... of volatility transmission across markets commonly termed “volatility spillover” provides useful insights into how information disseminates across ...investigate volatility and information ...
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Modelling Volatility Spillover between Conventional and Islamic Stock Index in the United Kingdom
... Furthermore, results of the study by Kim and Sohn (2016) show a unidirectional volatility spillover from the U.S. conventional stock market to the Islamic stock indices of Islamic countries, but not vice ...
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Volatility spillover in Indonesia, USA, and Japan capital market
... Meanwhile, dynamic volatility spillover generally happens between capital markets in different region. Time-trading difference because of one capital market starts trading when the other has been closed or ...
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Volatility Spillover in India, USA and Japan Investigation of Recession Effects
... dynamic volatility spillover effects between Indian capital market and two of the most influential capital markets in the world, USA and ...in volatility spillover effects between these three ...
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Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods
... information spillover and is referred to as contagion; while movements in opposite directions represent competitive effects (see footnote ...and volatility spillovers and their changes during the crisis and ...
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Volatility Spillover between Islamic and conventional stock markets: evidence from Quantile Regression analysis
... In spite of the remarkable expansion of Islamic finance due to several factors, especially the petrodollars inflow and the excess liquidity in the Gulf countries, studies on Islamic finance have gained ground recently, ...
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Volatility Spillover in India, USA and Japan Investigation of Recession Effects
... of volatility spillover is to understand how volatility can affect return of ...by volatility shock, but also by its reaction to shock on asset’s price in different ...
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