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equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …
Persistent link: https://www.econbiz.de/10003852244
Persistent link: https://www.econbiz.de/10001583865
examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are …
Persistent link: https://www.econbiz.de/10009724429
Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001 - 11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls. Our results, based on panel vector autoregressions, suggest that capital control...
Persistent link: https://www.econbiz.de/10011372773
03/1/2000- 12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …
Persistent link: https://www.econbiz.de/10011421883
03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …
Persistent link: https://www.econbiz.de/10011422554
volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …
Persistent link: https://www.econbiz.de/10011654569
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …
Persistent link: https://www.econbiz.de/10003969723
This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
Persistent link: https://www.econbiz.de/10011441480
This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
Persistent link: https://www.econbiz.de/10011444455