Search Results - subject:"volatility spillover effects"

Volatility spillover and hedging strategies between the European carbon emissions and energy markets

Liu, Jian; Hu, Yue; Yan, Li-Zhao; Chang, Chun Ping - In: Energy strategy reviews 46 (2023), pp. 1-19

Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration. This research thus uses the DCC-MVGARCH model and spillover index method to investigate volatility linkages between the European carbon...

Persistent link: https://www.econbiz.de/10014538776

Investigating the co-volatility spillover effects between cryptocurrencies and currencies at different natures of risk events

Hsu, Shu-Han - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-15

, COVID-19, and the Russian-Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects … significantly. Furthermore, the co-volatility spillover effects between cryptocurrencies and EUR have the largest effects and … fluctuations. Large-cap cryptocurrencies (Bitcoin and Ethereum) have greater co-volatility spillover effects between them and …

Persistent link: https://www.econbiz.de/10014332573

Investigating the co-volatility spillover effects between cryptocurrencies and currencies at different natures of risk events

Hsu, Shu-Han - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

Persistent link: https://www.econbiz.de/10013395912

The sovereign rating channel in the European debt crisis : spillover effects on sovereign CDS and other systemic risk indicators

Georgoutsos, Demetris A.; Moratis, George - 2024

Persistent link: https://www.econbiz.de/10015047370

Risk transmission between old and new energy markets from a multi-scale perspective : the role of the EU emissions trading system

Jiang, Qichuan; Ma, Xuejiao - In: Applied economics 54 (2022) 26, pp. 2949-2968

Persistent link: https://www.econbiz.de/10013171173

COVID-19's impact of the return and volatility spillovers between the US and Asian stock markets

Hwang, Jae-Kwang - In: Journal of international business and economics : JIBE 22 (2022) 3, pp. 5-10

Persistent link: https://www.econbiz.de/10014246658

Eatery, energy, environment and economic system, 1970-2017 : understanding volatility spillover patterns in a global sample

Long Hai Vo; Thai-Ha Le - In: Energy economics 100 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012990238

The volatility spillover effects among risk appetite indexes : insight from the VIX and the rise

Akdag, Saffet; İskenderoglu, Ömer; Alola, Andrew Adewale - In: Letters in spatial and resource sciences : LSRS 13 (2020) 1, pp. 49-65

Persistent link: https://www.econbiz.de/10012300961

Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

market, there were significant negative co-volatility spillover effects, specifically corn on subsequent sugarcane co … spillover effects. There are significant positive co-volatility spillover effects in all 6 cases, namely between corn and …-volatility with corn, and sugarcane on subsequent corn co-volatility with sugarcane. In the other 4 cases, there are no significant co-volatility …

Persistent link: https://www.econbiz.de/10011451531

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

Persistent link: https://www.econbiz.de/10011441704