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Covid-19 and stock market volatility : a clustering approach for S&P 500 industry indices

Lúcio, Francisco; Caiado, Jorge - In: Finance research letters 49 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013479311

Intraday bidirectional volatility spillover across international stock markets : does the global financial crisis matter?

Jawadi, Fredj; Louhichi, Waël; Cheffou, Abdoulkarim Idi - In: Applied economics 47 (2015) 34/36, pp. 3633-3650

Persistent link: https://www.econbiz.de/10011293475

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

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

Oil price asymmetric effects : answering the puzzle in international stock markets

Ramos, Sofia B.; Veiga, Helena - In: Energy economics 38 (2013), pp. 136-145

Persistent link: https://www.econbiz.de/10009764598

Volume, volatility and information linkages in the stock and option markets

Ho, Kin-Yip; Lin Zheng; Zhang, Zhaoyong - In: Review of financial economics : RFE 21 (2012) 4, pp. 168-174

Persistent link: https://www.econbiz.de/10009703996

Political uncertainty, COVID-19 pandemic and stock market volatility transmission

Apostolakis, George N.; Floros, Christos; Gillas, … - In: Journal of international financial markets, … 74 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012803182

To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets

Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10010193320

The more the Merrier? : the reaction of euro area stock markets to new members

Grigaliuniene, Zana; Celov, Dmitrij; Hartwell, … - In: Journal of international financial markets, … 66 (2020), pp. 1-28

Persistent link: https://www.econbiz.de/10012495842

Oil price shocks, economic policy uncertainty and industry stock returns in China : asymmetric effects with quantile regression

You, Wan-hai; Guo, Yawei; Zhu, Huiming; Tang, Yong - In: Energy economics 68 (2017), pp. 1-18

Persistent link: https://www.econbiz.de/10011904980

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