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Intra-daily volatility spillovers between the US and German stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - 2012

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

Persistent link: https://www.econbiz.de/10010308958

The subprime crisis: from financial markets collapse to a global economic crisis

Bouaziz, Meriam Chihi; Boujelbene, Younes; Bazin, Damien - In: International journal of economics 7 (2013) 2, pp. 227-237

Persistent link: https://www.econbiz.de/10010202509

Herding behaviour and market dynamic volatility : evidence from the US stock markets

Jlassi, Mouna; Naoui, Kamel - In: American journal of finance and accounting 4 (2015/2016) 1, pp. 70-91

Persistent link: https://www.econbiz.de/10011508878

Global contagion of market sentiment during the US subprime crisis

Lee, Yen-Hsien; Tucker, Alan L.; Wang, David K.; Pao, … - In: Global finance journal 25 (2014) 1, pp. 17-26

Persistent link: https://www.econbiz.de/10010400994

The international propagation of the American financial crisis : evidence of bivariate GARCH models

Bouaziz, Meriam Chihi; Bazin, Damien; Boujelbene, Younes - In: International journal of economics 8 (2014) 1, pp. 91-104

Persistent link: https://www.econbiz.de/10010422120

Correlation analysis of financial contagionbetween the US and international stock markets : the role of the US subprime crisis

Mighri, Zouheir; Mansouri, Fayçal - In: Economics & finance notes 3 (2014) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10010426228

Market volatility transmission and central banking : what happened during the subprime crisis?

Bensafta, Kamel Malik; Semedo, Gervasio - In: International economic journal 28 (2014) 4, pp. 559-588

Persistent link: https://www.econbiz.de/10010504200

Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114

Persistent link: https://www.econbiz.de/10011475912

Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis

Naifar, Nader - In: Economic modelling 29 (2012) 2, pp. 119-131

Persistent link: https://www.econbiz.de/10009536052

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

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