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Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...

Persistent link: https://www.econbiz.de/10011605159

Oil price uncertainty and sectoral stock returns in China : a time-varying approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - In: China economic review : an international journal 34 (2015), pp. 311-321

Persistent link: https://www.econbiz.de/10011459802

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John - 2009

Persistent link: https://www.econbiz.de/10013154956

The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic

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Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? : evidence based on HAR and Ridge regression models

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Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147

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Macro news and exchange rates in the BRICS

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Persistent link: https://www.econbiz.de/10011807527

Volatility persistence in the Russian stock market

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The volatility of daily tug-of-war intensity and stock market returns

Bai, Fan; Zhang, Yaqi; Chen, Zhonglu; Li, Yan - In: Finance research letters 55 (2023) 1, pp. 1-6

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