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Volatility returns with vengeance : financial markets vs. commodities

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 33 (2015), pp. 334-354

Persistent link: https://www.econbiz.de/10011325853

Cross-market spillovers with "volatility surprise"

Aboura, Sofiane; Chevallier, Julien - In: Review of financial economics : RFE 23 (2014) 4, pp. 194-207

Persistent link: https://www.econbiz.de/10010442564

A note on the Bitcoin and Fed Funds rate

Aboura, Sofiane - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2577-2603

Persistent link: https://www.econbiz.de/10013440504

Wavelet multiscale and spillover analyses of volatility and correlation

Aboura, Sofiane - In: The journal of derivatives : JOD 29 (2022) 5, pp. 20-39

Persistent link: https://www.econbiz.de/10014231071

Risk Premium Spillovers Among Stock Markets : Evidence from Higher-Order Moments

Finta, Marinela Adriana - 2018

This paper investigates the volatility, skewness and kurtosis risk premium spillovers among U.S., U.K., German and Japanese stock markets. We define risk premia as the difference between risk-neutral and realized moments. Our findings highlight that during periods of stress and after 2014,...

Persistent link: https://www.econbiz.de/10012926595

Risk premium spillovers among stock markets : evidence from higher-order moments

Finta, Marinela Adriana; Aboura, Sofiane - In: Journal of financial markets 49 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10013531210

Volatility spillovers in commodity markets

Chevallier, Julien; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1211-1227

Persistent link: https://www.econbiz.de/10010198563

Cross-border systemic risk spillovers in the global oil system : does the oil trade pattern matter?

Zhu, Bo; Liu, Jiahao; Lin, Renda; Chevallier, Julien - In: Energy economics 101 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013161691

Multilayer information spillover networks analysis of China's financial institutions based on variance decompositions

Wang, Gang-Jin; Chen, Yang-Yang; Si, Hui-Bin; Chi, Xie; … - In: International review of economics & finance : IREF 73 (2021), pp. 325-347

Persistent link: https://www.econbiz.de/10012692326

Dynamic spillovers between gulf cooperation council's stocks, VIX, oil and gold volatility indices

Alqahtani, Abdullah; Chevallier, Julien - In: Journal of risk and financial management : JRFM 13 (2020) 4/69, pp. 1-17

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets...

Persistent link: https://www.econbiz.de/10012302563