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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232
across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …
Persistent link: https://www.econbiz.de/10011296721
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Spatial Modeling of Stock Market Comovements
Fernandez-Aviles, Gema - 2014
allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise …
Persistent link: https://www.econbiz.de/10013055629
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Cointegration and Conditional Correlations Among German and Eastern Europe Equity Markets
Guidi, Francesco; Gupta, Rakesh - 2023
structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic … conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries …
Persistent link: https://www.econbiz.de/10014353334
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Predicting covariance matrices with financial conditions indexes
Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - 2013
Persistent link: https://www.econbiz.de/10009784937
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Predicting Volatility and Correlations with Financial Conditions Indexes
Opschoor, Anne - 2016
-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In … returns, especially during crises. Moreover, including the FCI in volatility and correlation modeling improves Value …
Persistent link: https://www.econbiz.de/10013007323
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Global, regional and country-specific components of financial market indicators : an extraction method and applications
Kocsis, Zalán - 2013
This paper presents a variance decomposition method - factor analysis with Procrustes rotation - that is capable of separating the global, regional and idiosyncratic components of various financial market indicators. The method is applied to indicators of five key financial markets: sovereign...
Persistent link: https://www.econbiz.de/10009774447
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Dependency relations among international stock market indices
Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265
We develop networks of international stock market indices using information and correlation based measures. We use 83 … stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and … one day coincides to same day correlation between them. …
Persistent link: https://www.econbiz.de/10011545240
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Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras
Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021
This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...
Persistent link: https://www.econbiz.de/10012599014
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International stock market indices comovements : a new look
Madaleno, Mara; Pinho, Carlos - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 89-102
Persistent link: https://www.econbiz.de/10009507847
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Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices?
Derbali, Abdelkader; Naoui, Kamel; Ben Sassi, Mounir; … - In: The Chinese economy : translations and studies 55 (2022) 3, pp. 227-242
Persistent link: https://www.econbiz.de/10013204855