The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...

This paper examines the spillover effects of the US economic policy uncertainty (EPU) on the UAE stock market volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014) connectedness index with the time-varying parameter vector...

The present paper examines the characteristics of return volatilities in the equity market and the index futures market in India. Volatility in the NSE Nifty index and that in its futures market are both seen to exhibit features of mean reversion, volatility clustering and a fair degree of...

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...

International tourism is a major source of export receipts for many countries worldwide. Although it is not yet one of the most important industries in Taiwan (or the Republic of China), an island in East Asia off the coast of mainland China (or the People's Republic of China), the leading...

Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best...

Economic instability in emerging countries has often been attributed to countercyclical fiscal policy. The problem is further exacerbated by income volatility caused by international commodity price fluctuations, while directional hedging, as a favourite policy response, has been both costly and...

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily frequency for European and US financial markets. In the study we included fourteen stock indices (twelve Europeans and two Americans), during March 2013 - January 2017. The results...

Properly estimating correlations and understanding how they change under different economic conditions plays a key role in asset pricing models, risk management, and many econometric models. In this paper we introduce a robust framework to identify a meaningful correlation relationship, address...