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Asymmetric and volatility spillover between stock market and foreign exchange market : Indian experience

Panda, Pradiptarathi; Deo, Malabika - In: The IUP journal of applied finance : IJAF 20 (2014) 4, pp. 69-82

Persistent link: https://www.econbiz.de/10010438525

Return and volatility spillovers between China and world oil markets

Zhang, Bing; Wang, Peijie - In: Economic modelling 42 (2014), pp. 413-420

Persistent link: https://www.econbiz.de/10010478711

Financialization in commodity markets : disentangling the crisis from the style effect

Adams, Zeno; Glück, Thorsten - 2014

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...

Persistent link: https://www.econbiz.de/10010410769

A Markov regime switching model of crises and contagion : the case of the Iberian countries in the EMS

Lopes, José Mário; Nunes, Luis C. - In: Journal of macroeconomics 34 (2012) 4, pp. 1141-1153

Persistent link: https://www.econbiz.de/10009703298

Government intervention in Russian bourse : a case of financial contagion

Khan, Salman; Batteau, Pierre - In: Journal of financial economic policy 4 (2012) 4, pp. 320-339

Persistent link: https://www.econbiz.de/10009674782

Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region

Chakrabarti, Gagari - In: The journal of asset management 12 (2011) 3, pp. 172-184

Persistent link: https://www.econbiz.de/10009297432

A comparison of spillover effects before, during and after the 2008 financial crisis

Rea, Alethea; Rea, William; Reale, Marco; Scarrott, Carl - 2012

Persistent link: https://www.econbiz.de/10009562986

GARCH models and the financial crisis : a study of the Malaysian stock market

Angabini, A.; Wasiuzzaman, S. - In: The international journal of applied economics and finance 5 (2011) 3, pp. 226-236

Persistent link: https://www.econbiz.de/10009387354

Financial crisis and financial market volatility spill-over

Saha, Soumya; Chakrabarti, Gagari - In: The international journal of applied economics and finance 5 (2011) 3, pp. 185-199

Persistent link: https://www.econbiz.de/10009387368

Measuring financial asset return and volatilty spillovers, with application to global equity markets

Diebold, Francis X.; Yılmaz, Kamil - 2008

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. -- Contagion ; Herd …

Persistent link: https://www.econbiz.de/10003831195