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Stock returns and asymmetric volatility spillover dynamics between Asian emerging markets
Habiba, Umme; Shen, Peilong; Hamid, Kashif; Shahzad, Farrukh - In: Global business review 22 (2021) 5, pp. 1131-1145
Persistent link: https://www.econbiz.de/10012660316
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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
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The asymmetric contagion effect from the U.S. stock market around the subprime crisis between 2007 and 2010
Kao, Yu-Sheng; Zhao, Kai; Ku, Yu-Cheng; Nieh, Chien-chung - In: Economic research 32 (2019) 1,3, pp. 2422-2454
Persistent link: https://www.econbiz.de/10012584695
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Intra-daily volatility spillovers between the US and German stock markets
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - 2012
)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …
Persistent link: https://www.econbiz.de/10009539877
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The spillover effects of the sub-prime mortgage crisis and optimum asset allocation in the BRICV stock markets
Chiang, Shu-mei; Chen, Hsin-fu; Lin, Chi-tai - In: Global finance journal 24 (2013) 1, pp. 30-43
Persistent link: https://www.econbiz.de/10009750408
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Financial contagion between the US and selected developed and emerging countries : the case of the subprime crisis
Boubaker, Sabri; Jouini, Jamel; Lahiani, Amine - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 14-28
Persistent link: https://www.econbiz.de/10011627503
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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
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The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures...
Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683
Persistent link: https://www.econbiz.de/10011413991
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Assessment of stock market contagion during the subprime mortgage crisis using GARCH-in-VAR model
Kim, Jaehong; Seo, Byeongseon - In: Journal of economic research 24 (2019) 2, pp. 129-155
Persistent link: https://www.econbiz.de/10012127261
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Asymmetric fractionally integrated volatility modelling of Asian equity markets under the subprime mortgage crisis
Chin, Wen Cheong; Ng Sew Lai; Nurul Afidah Mohmad Yusof; … - In: Journal of quantitative economics : official journal of … 10 (2012) 1, pp. 70-84
Persistent link: https://www.econbiz.de/10010338429