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Spatial spillover effects and risk contagion around G20 stock markets based on volatility network
Zhang, Weiping; Zhuang, Xintian; Lu, Yang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012659562
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Spatial GARCH : A Spatial Approach to Multivariate Volatility Modeling
Borovkova, Svetlana - 2012
This paper introduces a new approach to modelling the conditional variance in a multivariate setting. It is essentially a combination of the popular GARCH model class with a spatial component, inspired by generalized space-time models. The resulting spatial GARCH model takes into account both...
Persistent link: https://www.econbiz.de/10013097898
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On the link between volatility and growth : a spatial econometrics approach
Abate, Girum Dagnachew - In: Spatial economic analysis : the journal of the Regional … 11 (2016) 1, pp. 27-45
Persistent link: https://www.econbiz.de/10011440462
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International comovement of economic fluctuations : a spatial analysis
Wang, Miao; Wong, M. C. Sunny; Granato, James S. - In: World development : the multi-disciplinary … 67 (2015), pp. 186-201
Persistent link: https://www.econbiz.de/10011338731
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Regional manufacturing employment volatility in Canada : the effects of specialisation and trade
Baldwin, John R.; Brown, W. Mark - In: Papers in regional science : the journal of the … 83 (2004) 3, pp. 519-541
Persistent link: https://www.econbiz.de/10002243713
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A spatial econometric analysis of the regional growth and volatility in Europe
Falk, Martin; Sinabell, Franz - In: Empirica : journal of european economics 36 (2009) 2, pp. 193-207
Persistent link: https://www.econbiz.de/10003834165
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Unemployment volatility and regional specialization in the European Union
Ezcurra, Roberto - In: Regional studies 45 (2011) 8, pp. 1121-1137
Persistent link: https://www.econbiz.de/10009379520
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Volatility Spillovers with Spatial Effects on the Oil and Gas Market
Karatetskaya, Efrosinia - 2018
The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility model. We also use DCC, GO-GARCH and ADCC models as a...
Persistent link: https://www.econbiz.de/10012918094
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Volatility Spillovers with Spatial Effects on the Oil and Gas Market
Karatetskaya, Efrosiniya - 2018
The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility model. We also use DCC, GO-GARCH and ADCC models as a...
Persistent link: https://www.econbiz.de/10012906295
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Spatial connectedness of volatility spillovers in G20 stock markets : based on block models analysis
Zhang, Weiping; Zhuang, Xintian; Wu, Dongmei - In: Finance research letters 34 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012438221