Showing 1 - 10 of 2,451
-2009 financial crisis. We show that financial distress alone cannot explain the size and persistence of comovements. Instead, we …
Persistent link: https://www.econbiz.de/10010410769
We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other …
Persistent link: https://www.econbiz.de/10011914776
-2009 financial crisis. We show that financial distress alone cannot explain the size and persistence of comovements. Instead, we …
Persistent link: https://www.econbiz.de/10010339396
persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model … time-varying persistence in their corresponding conditional volatilities over the crisis period; in particular, such … further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a …
Persistent link: https://www.econbiz.de/10013212112
(ETFs) amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors' positions in futures markets …
Persistent link: https://www.econbiz.de/10012829283
(ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets …
Persistent link: https://www.econbiz.de/10011961264
This paper employs a VAR-BEKK GARCH model to examine the shock transmission and volatility spillover (STVS) effects …
Persistent link: https://www.econbiz.de/10012929376
This study analyzes price and volatility transmissions between nineteen real estate investment trusts (REITs) markets … the feedback from REITs to oil prices is weak. From the perspective of volatility, strong evidence of bidirectional …
Persistent link: https://www.econbiz.de/10012858931
York Stock Exchange by measuring the volatility transmission among them and the connectivity of this market. Daily closing … relationships. The results indicate that the ETFs that transmit and receive the most volatility in the modeled complex network, in …
Persistent link: https://www.econbiz.de/10015202525
This study investigates the time-varying frequency of spillovers between European stock markets and oil during the COVID-19 pandemic and the Russia-Ukraine war. Using the spillover index by Diebold & Yilmaz, 2012 and Baruník & Křehlík, 2018, we analyze high-frequency data at a 5-min interval...
Persistent link: https://www.econbiz.de/10014635385