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Simultaneous stochastic volatility transmission across american equity markets
Weber, Enzo - 2008
Information flows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually...
Persistent link: https://www.econbiz.de/10010263740
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The signal of volatility
Strohsal, Till; Weber, Enzo - 2012
The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...
Persistent link: https://www.econbiz.de/10010318768
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Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, … - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011531877
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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-25
plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …
Persistent link: https://www.econbiz.de/10011559137
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Rethinking stock market integration: Globalization, valuation and convergence
Tam, Pui Sun; Tam, Pui I. - 2012
This paper aims to study the extent of integration among developed and emerging stock markets in the onset of globalization through the formulation of a unified conceptual framework that synthesizes the stock valuation model and the convergence hypothesis. Market integration manifests in the...
Persistent link: https://www.econbiz.de/10010318741
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Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18
This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...
Persistent link: https://www.econbiz.de/10011988707
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Dynamic currency linkages between select emerging market economies: An empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-31
and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …
Persistent link: https://www.econbiz.de/10014001605
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What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets
Śmiech, Sławomir; Papież, Monika; Dąbrowski, Marek A.; … - 2018
The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for volatility of corn, soybean, wheat, rice, US dollar, crude oil, and SP500 futures spanning the period January 4, 2000 to April 1, 2017. The authors employ the generalized vector...
Persistent link: https://www.econbiz.de/10011873184
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Effect of catastrophic disaster in financial market contagion
Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-13
The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …
Persistent link: https://www.econbiz.de/10011988709
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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
da Silva, Paulo Pereira; Rebelo, Paulo Tomaz; Afonso, … - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010322502