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Economic policy uncertainty and stock market volatility : a causality check
Raunig, Burkhard - 2021
Persistent link: https://www.econbiz.de/10012521604
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Using causal graphs to test for the direction of instantaneous causality between economic policy uncertainty and stock market volatility
Raunig, Burkhard - In: Empirical economics : a quarterly journal of the … 65 (2023) 4, pp. 1579-1598
Persistent link: https://www.econbiz.de/10014388833
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanismcontagionduring turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging...
Persistent link: https://www.econbiz.de/10010264556
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …
Persistent link: https://www.econbiz.de/10010265708
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10010265964
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …
Persistent link: https://www.econbiz.de/10010270472
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Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10010271150
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010298351
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Measuring financial asset return and volatilty spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2008
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010303681
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The Threat of Financial Contagion to Emerging Asia’s Local Bond Markets: Spillovers from Global Crises
Azis, Iwan J.; Mitra, Sabyasachi; Baluga, Anthony; … - 2013
of individual bond markets in recent years has been impressive, the threat of financial contagion to emerging Asian bond …
Persistent link: https://www.econbiz.de/10010507534