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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …
Persistent link: https://www.econbiz.de/10011471074
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Volatility spillover and dynamic correlation between the carbon market and energy markets
Chen, Yufeng; Qu, Fang; Li, Wenqi; Chen, Minghui - In: Journal of business economics and management 20 (2019) 5, pp. 979-999
This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … markets. The time-varying conditional correlation between EUA and each of energy prices is analyzed. The dynamic correlation … shows there is a relatively stable, positive correlation between the EUA and Brent oil, natural gas. However, modeling the …
Persistent link: https://www.econbiz.de/10012175985
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Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study
Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90
Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …
Persistent link: https://www.econbiz.de/10012695346
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Stock Market Volatility Analysis using GARCH Family Models : Evidence from Zimbabwe Stock Exchange
Bonga, Wellington Garikai - 2019
Understanding the pattern of stock market volatility is important to investors as well as for investment policy. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The volatility of the Zimbabwean stock market is modeled using...
Persistent link: https://www.econbiz.de/10012868676
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Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513
change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …
Persistent link: https://www.econbiz.de/10011874650
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Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras
Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021
This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...
Persistent link: https://www.econbiz.de/10012599014
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Speculative Bubbles and Contagion : Analysis of Volatility's Clusters During the Dotcom Bubble Based on the Dynamic Conditional Correlation Model
Herwarth Kohn, Maximilian-Benedikt - 2017
bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by Engle and …
Persistent link: https://www.econbiz.de/10012951740
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Speculative bubbles and contagion : analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
Herwarth Kohn, Maximilian-Benedikt; Pereira, Pedro L. Valls - In: Cogent economics & finance 5 (2017) 1, pp. 1-28
bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand …
Persistent link: https://www.econbiz.de/10011887512
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Volatility Transmission and Correlation Analysis between the US and Asia : The Impact of the Global Financial Crisis
Valls, Natalia - 2011
the correlation with the US …
Persistent link: https://www.econbiz.de/10013131471
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Structural Breaks in Volatility Spillovers between International Financial Markets : Contagion or Mere Interdependence?
Maderitsch, Robert - 2015
This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series for the three markets and employ a Heterogeneous...
Persistent link: https://www.econbiz.de/10013033228