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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

Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis

Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013187623

A multicountry measure of comovement and contagion in international markets : definition and applications

Tessler, Nina; Venezia, Itzhak - In: Review of quantitative finance and accounting 58 (2022) 4, pp. 1307-1330

Persistent link: https://www.econbiz.de/10013191882

Stock market liquidity during periods of distress and its implications : evidence from international financial markets

Enow, Samuel Tabot - In: International journal of economics and financial issues … 13 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10014227896

Financial linkage via idiosyncratic shocks : a case in an emerging market

Dastkhan, Hossein; Rad, Hanieh Salehi - In: Emerging markets, finance and trade : EMFT 59 (2023) 10, pp. 3347-3361

Persistent link: https://www.econbiz.de/10014321101

High-frequency stock market connectedness in G-7 : evidence from time-frequency domains

Polat, Onur - In: International journal of economics and business … 24 (2022) 1/2, pp. 16-28

Persistent link: https://www.econbiz.de/10014308709

CDS and equity markets' volatility linkages : lessons from the EMU crisis

Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1259-1281

Persistent link: https://www.econbiz.de/10014291804

Forecasting the realized volatility of stock markets with financial stress

Guo, Chuan; Feng, Yiyun - In: Journal of risk 25 (2022) 1, pp. 23-48

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A note on financial vulnerability and volatility in emerging stock markets : evidence from GARCH-MIDAS models

Demirer, Rıza; Gupta, Rangan; Li, He; You, Yu - In: Applied economics letters 30 (2023) 1, pp. 37-42

Persistent link: https://www.econbiz.de/10013552965

Isolating momentum crashes

Dierkes, Maik; Krupski, Jan - In: Journal of empirical finance 66 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013370567