Similar Search Results

Asymmetric connectedness on the US stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

Persistent link: https://www.econbiz.de/10010509638

Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

Persistent link: https://www.econbiz.de/10010407529

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - In: International review of economics & finance : IREF 42 (2016), pp. 186-201

Persistent link: https://www.econbiz.de/10011625108

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010515402