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Modeling Financial Contagion Using Mutually Exciting Jump Processes
Ait-Sahalia, Yacine - 2010
introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …
Persistent link: https://www.econbiz.de/10013146261
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Modeling Financial Contagion Using Mutually Exciting Jump Processes
Aït-Sahalia, Yacine - 2010
introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …
Persistent link: https://www.econbiz.de/10012462802
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Modeling financial contagion using mutually exciting jump processes
Aït-Sahalia, Yacine; Cacho-Diaz, Julio; Laeven, Roger J. A. - In: Journal of financial economics 117 (2015) 3, pp. 585-606
Persistent link: https://www.econbiz.de/10011480318
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Foreign shocks on Chilean financial markets : spillovers and comovements between bond and equity markets
Morales, Marco; Moreno, Carola; Vio, Camilo - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 35-50
Persistent link: https://www.econbiz.de/10010485823
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Asset allocation in markets with contagion : the interplay between volatilities, jump intensities, and correlations
Konermann, Patrick; Meinerding, Christoph; Sedova, Olga - In: Review of financial economics : RFE 22 (2013) 1, pp. 36-46
Persistent link: https://www.econbiz.de/10009717856
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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
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
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An empirical validation of financial contagion by a multivariate VAR model
Boutabba, Islem - In: International journal of business and economics 18 (2019) 2, pp. 221-244
Persistent link: https://www.econbiz.de/10012138318
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Volatility spillover effects of the US, European and Chinese financial markets in the context of the Russia-Ukraine conflict
Beraich, Mohamed; Amzile, Karim; Laamire, Jaouad; … - In: International Journal of Financial Studies : open … 10 (2022) 4, pp. 1-18
The present study aims to investigate the volatility spillover effects in the international financial markets before … Russia and Ukraine on the transmission of volatility between the American, European and Chinese stock markets using the DY … methodology. The sample period for daily data is from 1 June 2019 to 1 June 2022, excluding holidays. The volatility spillover …
Persistent link: https://www.econbiz.de/10013459985