Similar Search Results

Covid-19 and stock market volatility : a clustering approach for S&P 500 industry indices

Lúcio, Francisco; Caiado, Jorge - In: Finance research letters 49 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013479311

Intraday bidirectional volatility spillover across international stock markets : does the global financial crisis matter?

Jawadi, Fredj; Louhichi, Waël; Cheffou, Abdoulkarim Idi - In: Applied economics 47 (2015) 34/36, pp. 3633-3650

Persistent link: https://www.econbiz.de/10011293475

Bayesian quantile forecasting via the realized hysteretic GARCH model

Chen, Cathy W. S.; Lin, Edward M. H.; Huang, Tara F. J. - In: Journal of forecasting 41 (2022) 7, pp. 1317-1337

Persistent link: https://www.econbiz.de/10013465697

Modelling volatility during the current financial crisis : an empirical analysis of the US and the UK stock markets

Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 171-194

Persistent link: https://www.econbiz.de/10009722142

Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

Persistent link: https://www.econbiz.de/10010407529

Asymmetric connectedness on the US stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

Persistent link: https://www.econbiz.de/10010509638

Volatility spillovers between foreign exchange markets of India and China

Kumar, Surender; Dublish, Puneet; Haque, Moon Moon - In: Asia-Pacific journal of management research and … 12 (2016) 2, pp. 134-144

Persistent link: https://www.econbiz.de/10011720265

Total, asymmetric and frequency connectedness between oil and forex markets

Baruník, Jozef; Kočenda, Evžen - 2019

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

Persistent link: https://www.econbiz.de/10012035050

Asymmetric volatility connectedness on the forex market

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - In: Journal of international money and finance 77 (2017), pp. 39-56

Persistent link: https://www.econbiz.de/10011788089

Do cryptocurrencies and traditional asset classes influence each other?

Kurka, Josef - 2017

Large stream of literature studies interconnectedness among various assets that are relevant in current global markets. Transmission of shocks between cryptocurrencies and traditional asset classes is, however, not understood at all, but should not be ignored due to increasing influence of...

Persistent link: https://www.econbiz.de/10011763805

1
2
3
4
5
6
7
8
9
10
Next
Last