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Essays in financial economics

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Volatility spillovers and systemic risk across economies : evidence from a global semi-structural model

Gómez-Pineda, Javier G. - 2018 - This version: September 5, 2017

approximated country risk with historical stock volatility, a measure that is uniform and available across countries; in addition …, we measured spillovers as the share of forecast error variance explained by different volatility factors. We found that … systemic risk is the main volatility factor in all systemic economies, and also accounts for the bulk of spillovers into non …

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Cascading effect of contagion in Indian stock market : evidence from reachable stocks

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Volatility spillover between developed and developing markets during crisis period

Karakuş, Rıfat; Küçük, Şeyma Yılmaz; Bozkurt, … - In: Fractal approaches for modeling financial assets and …, (pp. 230-248). 2018

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Political tensions, stock market dependence and volatility spillover : Evidence from the recent intra-GCC crises

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On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets

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Volatility modelling and dynamic linkages between Pakistani and leading foreign stock markets : a multivariate GARCH analysis

Ghouse, Ghulam; Khan, Saud Ahmad; Khan, Muhammad Arshad - In: The Pakistan development review : PDR 58 (2019) 3, pp. 265-282

Persistent link: https://www.econbiz.de/10012167307