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Volatility spillover shifts in global financial markets

BenSaïda, Ahmed; Litimi, Houda; Abdallah, Oussama - In: Economic modelling 73 (2018), pp. 343-353

Persistent link: https://www.econbiz.de/10012100545

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - In: Energy economics 136 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015046875

Spillovers at the extremes : the macroprudential stance and vulnerability to the global financial cycle

Chari, Anusha; Stedman, Karlye Dilts; Forbes, Kristin - In: Journal of international economics 136 (2022), pp. 1-37

Persistent link: https://www.econbiz.de/10013431564

International transmissions of aggregate macroeconomic uncertainty in small open economies : an empirical approach

Cross, Jamie L.; Hou, Chenghan; Poon, Aubrey - 2018

Persistent link: https://www.econbiz.de/10012202181

International transmission of shocks and African forex markets

Bossman, Ahmed; Gubareva, Mariya; Teplova, Tamara - In: Energy economics 131 (2024), pp. 1-18

African forex markets. To gauge the dynamics of shock transmission, we employ the TVP-VAR connectedness model using daily data … spanning over the period 2000-2023. We show that shock transmission between oil-exporting and oil-importing countries … heterogeneously depends on oil and GPR innovations. We also provide empirical evidence that return and volatility shock transmission …

Persistent link: https://www.econbiz.de/10015046270

Contagion effect of natural disaster and financial crisis events on international stock markets

Lee, Kuo-Jung; Lu, Su-Lien; Shih, You - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-25

In the contemporary world bustling with global trade, a natural disaster or financial crisis in one country (or region) can cause substantial economic losses and turbulence in the local financial markets, which may then affect the economic activities and financial assets of other countries (or...

Persistent link: https://www.econbiz.de/10011855248