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Price volatility and volume spillovers between the Tokyo and New York stock markets

Itō, Takatoshi - 1993

Persistent link: https://www.econbiz.de/10000881895

Interest rate volatility, capital controls and contagion

Edwards, Sebastian - 1998

Persistent link: https://www.econbiz.de/10000679903

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yılmaz, Kamil - 2008

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts"--National Bureau of …

Persistent link: https://www.econbiz.de/10003659584

Nonlinearities and the macroeconomic effects of oil prices

Hamilton, James D. - 2010

"This paper reviews some of the literature on the macroeconomic effects of oil price shocks with a particular focus on possible nonlinearities in the relation and recent new results obtained by Kilian and Vigfusson (2009)"--National Bureau of Economic Research web site

Persistent link: https://www.econbiz.de/10003990971