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Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513
change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …
Persistent link: https://www.econbiz.de/10011874650
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Contagion testing in embryonic markets under alternative stressful US market scenarios
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...
Persistent link: https://www.econbiz.de/10012156543
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Investigating abnormal volatility transmission patterns between emerging and developed stock markets : a case study
Spulbăr, Cristi; Trivedi, Jatin; Birau, Ramona - In: Journal of business economics and management 21 (2020) 6, pp. 1561-1592
The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents,...
Persistent link: https://www.econbiz.de/10012505328
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Dynamic interactions between foreign institutional investment flows and stock market returns : the case of India
Bulsara, Hemantkumar P.; Dhingra, Vaishali Samir; … - In: Contemporary economics 9 (2015) 3, pp. 271-298
January, 2004 through September, 2012. The analysis employs a Cross Correlation Function (CCF) approach, a Granger Causality …
Persistent link: https://www.econbiz.de/10011392151
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010515402
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Identifying time variability in stock and interest rate dependence
Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012
The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying … correlation complement each other in identifying time-varying patterns found in the (co-)movement between the variables …
Persistent link: https://www.econbiz.de/10009625556
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010407524
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Dynamic Stock Market Covariances in the Eurozone
Connor, Gregory - 2012
, Engle and Ghysel's Mixed Data Sampling Dynamic Conditional Correlation Garch model to include a new scalar measure for the … degree of correlatedness in time-varying correlation matrices. We also explore the robustness of the findings with a less … model-dependent realized covariance estimator. We find a secular trend toward higher correlation during our sample period …
Persistent link: https://www.econbiz.de/10013105512
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On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets
Conrad, Christian - 2014
Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …
Persistent link: https://www.econbiz.de/10013066427