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Volatility transmission between Japan, UK and USA in daily stock returns
Tanizaki, Hisashi; Hamori, Shigeyuki - In: Empirical economics : a journal of the Institute for … 36 (2009) 1, pp. 27-54
Persistent link: https://www.econbiz.de/10003804532
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Return and volatility spillovers among sector indexes in Shanghai-Shenzhen-Hong Kong stock markets : evidence from the time and frequency domains
Chen, Wei; Li, Rui; Yao, Yinhong - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 13, pp. 3840-3852
Persistent link: https://www.econbiz.de/10013462427
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Volatility spillover dynamics between large-, mid-, and small-cap stocks in the time-frequency domain : implications for portfolio management
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Dash, Ashutosh - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-22
variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility …, followed by the small- and large-cap indices, during the analyzed period. The volatility spillover is time-varying in both the … time and frequency domains. …
Persistent link: https://www.econbiz.de/10012795342
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Stock and bond markets co-movements in selected MENA countries : a dynamic coherence function approach
Boukhatem, Jamel; Ftiti, Zied - In: Emerging markets and the global economy, (pp. 623-642). 2014
Persistent link: https://www.econbiz.de/10010434618
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International transmission of stock returns and volatility : empirical comparison between friends and foes
Choudhry, Taufiq - In: Emerging markets finance & trade : a journal of the … 40 (2004) 4, pp. 33-52
Persistent link: https://www.econbiz.de/10002162905
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Overreaction and seasonality in Asian stock indices : evidence from Korea, Hong Kong and Japan
Schaub, Mark; Lee, Bun-song; Chun, Sun Eae - In: Research in finance 24 (2008), pp. 169-195
Persistent link: https://www.econbiz.de/10003752947
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Can time-varying risk of rare disasters explain aggregate stock market volatility
Wachter, Jessica - 2008
Persistent link: https://www.econbiz.de/10003763502
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Month-related seasonality of stock price volatility : evidence from the Malta Stock Exchange
Camilleri, Silvio John - In: Bank of Valletta review (2008) 37, pp. 49-65
Persistent link: https://www.econbiz.de/10003767416
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Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
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Can time-varying risk of rare disasters explain aggregate stock market volatility?
Wachter, Jessica (contributor) - 2008 - Current draft: September 24, 2008
Persistent link: https://www.econbiz.de/10003783866