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Spillovers from the USA to stock markets in Asia : a quantile regression approach

Maderitsch, Robert - In: Applied economics 47 (2015) 43/45, pp. 4714-4727

Persistent link: https://www.econbiz.de/10011380735

Volatility spillovers and the risk-return relation between stock and foreign exchange markets in Brazil

Ely, Regis Augusto - In: Latin American business review : journal of the … 16 (2015) 4, pp. 305-325

Persistent link: https://www.econbiz.de/10011458821

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 … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most … in different sectors, and the asymmetries sizably change over time. While negative spillovers are often of substantial …

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

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 … that sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do …

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

Global production linkages and stock market comovement

Auer, Raphael A.; Iwadate, Bruce Muneaki; Schrimpf, Andreas - 2022

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

Persistent link: https://www.econbiz.de/10013169023