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Measuring extreme risk spillovers across international stock markets : a quantile variance decomposition analysis

Su, Xianfang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012660129

Information transmission between China's IH and SGX FTSE A50 stock index futures markets : the role of trading restrictions

Wen, Tianxiang; Li, Ping; An, Yunbi - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 6, pp. 1639-1650

Persistent link: https://www.econbiz.de/10013190176

Multivariate volatility forecasts for stock market indices

Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499

Persistent link: https://www.econbiz.de/10012792845

Intra- and inter-regional return and volatility spillovers across emerging and developed markets : evidence from stock indices and stock index futures

Yarovaya, Larisa; Brzeszczyński, Janusz; Lau, Chi Keung - In: International review of financial analysis 43 (2016), pp. 96-114

Persistent link: https://www.econbiz.de/10011623719

The intraday volatility spillover index approach and an application in the Brexit vote

Nishimura, Yusaku; Sun, Bianxia - In: Journal of international financial markets, … 55 (2018), pp. 241-253

Persistent link: https://www.econbiz.de/10011984139

Volatility spillovers across European stock markets under the uncertainty of Brexit

Li, Hong - In: Economic modelling 84 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012210266

Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

Ito, Takatoshi - 1993

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns …

Persistent link: https://www.econbiz.de/10012474348

The transmission of international stock market volatilities

Budd, Bruce Q. - In: Journal of economics and finance 42 (2018) 1, pp. 155-173

Persistent link: https://www.econbiz.de/10011978148

International stock market risk contagion during the COVID-19 pandemic

Liu, Yuntong; Wei, Yu; Wang, Qian; Liu, Yi - In: Finance research letters 45 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10014576472

The Brexit impact on European market co-movements

Ben Ameur, Hachmi; Louhichi, Waël - In: Risk management decisions and value under uncertainty, (pp. 1387-1403). 2022

Persistent link: https://www.econbiz.de/10013342123