Search Results - subject:"Volatility spillover effect"

Measurement, identification, and spillover effects of systemic risk in the international clean energy market

Zhao, Mingtao; Lu, Suwan; Cui, Lianbiao - In: Energy strategy reviews 52 (2024), pp. 1-14

ICEM through volatility spillover effect (VSE). The results obtained indicate that the occurrence of systemic risk days in …

Persistent link: https://www.econbiz.de/10014583304

Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era : New evidence from the VARX-DCC-MEGARCH model

Liu, Xiaoxing; Shehzad, Khurram - In: Journal of applied economics 26 (2023) 1, pp. 1-24

This investigation utilized the VARX-DCC-MEGARCH model assimilated with skewed-t density to analyze the time-different (i.e., daytime, overnight, and daily) connectedness among S&P 500, DAX 30, FTSE-100, Nikkei 225, and Shanghai Composite Index. This investigation discovered that the current...

Persistent link: https://www.econbiz.de/10014516096

Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets : the case of Borsa İstanbul

Gürbüz, Süleyman; Şahbaz, Ahmet - In: Borsa Istanbul Review 22 (2022) 2, pp. 321-331

general volatility spillover effect from the derivatives market to the stock market, except for the frequency that covers all … spillover effect on stock indexes using multivariate GARCH models and wavelet methods. We use the DVECH method, with variables …Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility …

Persistent link: https://www.econbiz.de/10013184127

Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?

Zhang, Wenting; Liu, Tiantian; Zhang, Yulian; Hamori, … - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10014534845

Changes in volatility leverage and spillover effects of crude oil futures markets affected by the 2022 Russia-Ukraine conflict

Pan, Qunxing; Sun, Yujia - In: Finance research letters 58 (2023) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10014583950

The volatility spillover effect of macroeconomic indicators on inbound tourism in India

Rastogi, Shailesh; Kanoujiya, Jagjeevan - In: Tourism review 78 (2023) 4, pp. 1092-1115

Persistent link: https://www.econbiz.de/10014323027

Impact of the COVID-19 pandemic on volatility spillover across sectors in the US markets

Ahzam, Tariq Syed - In: Advances in Management Research : Emerging Challenges …, (pp. 229-236). 2022

Persistent link: https://www.econbiz.de/10014434885

Analyzing a dynamic relation between RMB exchange rate onshore and offshore during the extreme market conditions

Hu, Genhua; Wang, Xiangjin; Qiu, Hong - In: International review of economics & finance : IREF 85 (2023), pp. 408-417

Persistent link: https://www.econbiz.de/10014428037

The spillover effects among offshore and onshore RMB exchange rate markets, RMB Hibor market

Zhong, Yonghong; Harris, Richard I. D. - In: Quantitative finance and economics 4 (2020) 2, pp. 294-309

Persistent link: https://www.econbiz.de/10012271396

Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression

Živkov, Dejan; Manić, Slavica; Kovačević, Jelena; … - In: Portuguese economic journal 21 (2022) 1, pp. 67-93

Persistent link: https://www.econbiz.de/10012819575