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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
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/10010407524
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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
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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
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Gold, Oil, and Stocks
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
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/10010398701
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Gold, Oil, and Stocks
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - Institut für Volkswirtschaftslehre, … - 2014
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/10010986556
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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
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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
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Survey of volatility and spillovers on financial markets
Kočenda, Evžen - In: Prague economic papers : a bimonthly journal of … 27 (2018) 3, pp. 293-305
Persistent link: https://www.econbiz.de/10011895333
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Exchange rate co-movements, hedging and volatility spillovers in new EU forex markets
Kočenda, Evžen; Moravcová, Michala - 2017
We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …
Persistent link: https://www.econbiz.de/10011763803
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Survey of volatility and spillovers on financial markets
Kočenda, Evžen - 2017
In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets …
Persistent link: https://www.econbiz.de/10011598902