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Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis
... financial markets in developed and emerging countries have now liberalized and relaxed international capital flow ...of markets play a significant role in the stock market integration ...When ... See full document
20
Volatility Integration of Global Stock Markets with the Malaysian Stock Market: A Multivariate GARCH Approach
... market volatility is influenced by Japan’s financial market more than that of the ...that volatility integrations across Asian stock markets are statistically significant, as well as ... See full document
36
Africa Stock Markets Cross-Market Linkages: A Time-Varying Dynamic Conditional Correlations (DCC-GARCH) Approach
... the analysis was done using period before, during and after the ...countries stock markets and the US stock market was investigated using the DCC – GARCH (1, 1) ...emerging stock ... See full document
8
Dynamic global linkages of the BRICS stock markets with the U S and Europe under external crisis shocks: Implications for portfolio risk forecasting
... BRICS stock markets at times of crisis, such as the return and volatility behavior, market comovement, volatility spillovers, and contagion risk ...BRICS markets significantly ... See full document
28
Volatility Spillover Effect of International Crude Oil Futures and China-Russia Stock Market: A Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution Analysis
... the stock market by influencing ...this time, inflationary pressure is high, investors will consider the expected discount rate when calculating stock prices, and naturally think that the future ... See full document
20
The Time Varying Risk and Return Trade Off in Indian Stock Markets
... between stock market returns and volatility in the Indian stock markets using AR(1)-EGARCH(p, q)-in-Mean ...Indian stock exchanges, ...National Stock Exchange (NSE) and Bombay ... See full document
19
Time Varying Volatility Modeling of Pakistani and leading foreign stock markets
... Pakistan stock markets by using different econometric ...estimated volatility by using DCC-GARCH and also found Information transmission mechanisms persists through return and ... See full document
28
MEASURING NIGERIAN STOCK MARKET VOLATILITY
... univariate analysis framework, the study adopts the suggestion of Brooks and Burke (2003) that the ARCH and GARCH models are sufficient to capture all of the volatility clustering and unconditional ... See full document
14
Return and volatility spillovers among stock and foreign exchange markets: empirical evidence from selected African markets
... financial time series data, it is well known that most econometric models are unable to capture the required features due to the fact that they have characteristics exhibiting large values and usually not normally ... See full document
8
Testing and Predicting Volatility Spillover—A Multivariate GJR GARCH Approach
... a multivariate VAR-BEKK-GJR-GARCH volatility mod- el to assess the dynamic interdependence among stock, bond and money market returns and volatility of ...for volatility ... See full document
17
FINANCIAL LIBERALIZATION AND KUWAITI STOCK MARKET BEHAVIOUR
... emerging stock markets and its impacts on market volatility have attracted growing attention from academics and policymakers during the last few ...financial markets through integration, the ... See full document
24
Co Movement and Interaction Effects across the Monetary, Foreign Exchange and Stock Markets: Evidence from China
... financial markets, which is a complex system of multiple levels with ...correlation among finan- cial markets and institutions, it is hard for a separate event to evolve into overall systemic risk in ... See full document
10
Neglected chaos in international stock markets:Bayesian analysis of the joint return volatility dynamical system
... Michaelides, Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system, Physica A 2017, http://dx.doi.org/10.1016/j.physa.2017.04.[r] ... See full document
21
Stock Return Volatility And Trading Volume Relationships Captured With Stable Paretian GARCH And Threshold GARCH Models
... to GARCH models is relatively ...use GARCH models with stable Paretian distributions to examine volatility of financial markets, and these models show better results in terms of goodness of ... See full document
6
Volatility Spillover between Islamic and conventional stock markets: evidence from Quantile Regression analysis
... of volatility (transmission, contagion) between conventional stock markets and their Islamic counterparts currently considered as a new investment alternative, in calm periods and in times of ... See full document
44
Modelling Stock Returns Volatility In Nigeria Using GARCH Models
... 3.2 Methodology To capture stock returns volatility clustering, leptokurtosis and leverage effects on the NSE return series, the GARCH 1, 1, and the GJR-GARCH 1,1 models were used.. The [r] ... See full document
18
Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets
... previous time-period, and hence he generalized the ARCH model, which is referred to as the GARCH ...The GARCH model took into consideration the influence of lagged squared residuals and conditional ... See full document
13
Evaluation in Dynamic Process Spillover Effect: Eleven Major Exchange Rate Markets
... dynamic time-vary spillover effects, we use a list of the top eleven major exchange rates including United States(USD), Canada(CAN), Euro(EUR), Japan(JPY), Germany(GBP), Switzerland(CHF), Australia(AUD), ... See full document
6
Studying Volatility Risk Transmission in Automatable Supply Chain Companies in the Tehran Stock Exchange
... the volatility of the SAIPA Company and its supply chain companies except for ...of volatility risk amongst the supply chain companies is a two-way ...the stock price of a supply chain drops this ... See full document
9
U.S. Quantitative Easing Policies: Their Effect on the Global Bond Markets
... negative spillover effects on most developed bond yields during all three ...bond markets during the ...wide-spread spillover effects of the U.S. QE policy shocks on developed markets also ... See full document
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