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Spillover effects and conditional dependence

Ané, Thierry; Labidi, Chiraz - In: International review of economics & finance : IREF 15 (2006) 4, pp. 417-442

Persistent link: https://www.econbiz.de/10003392494

A note on cointegration of international stock market indices

Dimpfl, Thomas - In: International review of financial analysis 33 (2014), pp. 10-16

Persistent link: https://www.econbiz.de/10010520092

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

Jump Interdependencies : stochastic linkages among international stock markets

Kshatriya, Saranya; Prasanna, Krishna - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012822184

Dynamic responses of major equity markets to the US fear index

Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, pp. 1-23

This study examines the reaction of four major equity markets of the world to the US equity market fear index, i.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility in equity markets. Our paper examines the daily data for...

Persistent link: https://www.econbiz.de/10012173007