volatility spillovers
PRICE DISCOVERY AND VOLATILITY SPILLOVERS IN INDIAN METAL COMMODITY MARKETS
... and volatility spillover in Indian metals commodity market using Johansen cointegration, Vector Error Correction Model (VECM) and the bivariate EGARCH ...bidirectional volatility spillover persists, the ...
39
Price Discovery and Volatility Spillovers in Indian Spot Futures Commodity Market
... and volatility spillovers between some of the markets in the US, UK, Canada, Germany and ...the volatility transmission process was ...and volatility spillovers in Scandinavian stock ...
18
Global and Regional Volatility Spillovers to GCC Stock Markets
... return spillovers from regional (Saudi Arabia) and global (US) markets to GCC stock markets (Bahrain, Oman, Kuwait, Qatar, United Arab ...univariate volatility spillover model which allows the unexpected ...
43
The Effects of Crises on Volatility Spillovers between Borsa Istanbul Sector Indexes
... on volatility spillovers and contagion ...changing spillovers between the markets due to the crisis. The volatility spillovers provide information to investors to be used in investment ...
6
Volatility Spillovers and Correlation Between Cryptocurrencies and Asian Equity Market
... one-way volatility spillovers in the direction from the BTC (Bitcoin) to the equity market is found according to the the empirical results ...the volatility of its peers seems more rational, making ...
8
An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries
... return spillovers from global markets, particularly the US ...Regarding volatility spillovers, we find more synchronized patterns across the GCC ...Significant volatility spillover from the US ...
26
Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis
... Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis El Ghini, Ahmed and Saidi, Youssef... Panel 3 : Structural changes in the NASDAQ series 3,200.[r] ...
21
On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911
... of volatility spillovers and dominant role (the second-moment) of the US, Japan and Hong Kong in the East Asian equity ...of volatility in East Asian equity ...US spillovers were transmitted ...
20
Return and volatility spillovers between South African and Nigerian equity markets
... and volatility spillovers between South African and Nigerian stock markets, thus, inferring the optimal hedging ratio and portfolio weights for risk-averse financial investors seeking investment ...
34
Volatility spillovers among uncertainty measures The case of EU member states
... Volatility spillovers among uncertainty measures are analysed within the connectedness table, as proposed by [13], ...net volatility transmission (the difference between volatility transmitted ...
10
Asymmetric volatility spillovers between UK regional worker flows and vacancies
... the volatility spillovers to and from other variables are high, which provides clear evidence for the close interdependence between UK regional labour ...net spillovers shows that, in general, shocks ...
45
Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan
... of volatility spillovers between/among markets (Gonzalo and Olmo, ...of volatility spillovers across ...that volatility spillovers are driven by currency fluctuations, market ...
16
Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE
... the volatility of futures market affects the volatility of the underlying spot market (Arshanapalli and Doukas 1994; Chan et ...the volatility spillovers among futures price, options price and ...
25
Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach
... the volatility linkages in equity markets during the latest ...the spillovers of the United States to China and Hong Kong for the period ...find volatility spillovers from United States to ...
18
Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR BTGARCH M Model
... varying volatility. Volatility plays an important role in hedging, derivative pricing, portfolio selection and financial risk control (see, for instance, Zhou and Kang (2011), for ...that volatility ...
21
Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns of Middle East Countries
... Most of this literature discusses conditional correlations and volatility spillovers be- tween crude oil and stock index using standard linear frameworks such as the (VAR) and (VEC) models. Few literatures ...
23
The impact of oil and gold price fluctuations on the South African equity market: volatility spillovers and implications for portfolio management
... the volatility transmission between GOLD and RES, we notice some slight sign of bidirectional volatility spillovers between gold and ...The volatility spillover effect from GOLD to RES is ...
47
Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range based estimator
... price volatility spillover relationships in the residuals of the range-based volatility estimators among the crude oil and agricultural commodity markets using the Granger-Wald causality ...price ...
8
Exchange return co movements and volatility spillovers before and after the introduction of Euro
... in volatility transmission as, according to the ‘contribution to the others’ row, gross directional volatility spillovers to others are the highest in the euro (mark) market in both periods, while in ...
28
GDP Growth and the Interdependency of Volatility Spillovers
... and volatility spillovers of GDP growth rates across Australia, Canada, the UK and the US, one can argue that these shocks and volatility spillovers cannot be transmitted and recorded through ...
17