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Volatility spillover between oil and stock market returns

Anand, B.; Paul, Sunil; Rmachandran, M. - In: Indian economic review : biannual journal of the Delhi … 49 (2014) 1, pp. 37-56

Persistent link: https://www.econbiz.de/10011339586

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - 2012

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...

Persistent link: https://www.econbiz.de/10011347744

Volatility transmission between Islamic and conventional equity markets : evidence from causality-in-variance test

Nazlıoğlu, Şaban; Hammoudeh, Shawkat; Gupta, Rangan - In: Applied economics 47 (2015) 46/48, pp. 4996-5011

Persistent link: https://www.econbiz.de/10011318417

Mean and volatility transmission for commodity futures

Grieb, Terrance - In: Journal of economics and finance 39 (2015) 1, pp. 100-118

Persistent link: https://www.econbiz.de/10011326110

Robust score and portmanteau tests of volatility spillover

Aguilar, Mike; Hill, Jonathan B. - In: Journal of econometrics 184 (2015) 1, pp. 37-61

Persistent link: https://www.econbiz.de/10011326820

Returns and volatility spillover in the European banking industry during global financial crisis : flight to perceived quality or contagion?

Choudhry, Taufiq; Jayasekera, Ranadeva - In: International review of financial analysis 36 (2014), pp. 36-45

Persistent link: https://www.econbiz.de/10010530222

Volatility spillover between oil and agricultural commodity markets

Nazlıoğlu, Şaban; Erdem, Cumhur; Soytas, Ugur - In: Energy economics 36 (2013), pp. 658-665

Persistent link: https://www.econbiz.de/10009724616

Global and regional range-based volatility spillover effects

Lee, Yen-Hsien - In: Emerging markets review 14 (2013), pp. 1-10

Persistent link: https://www.econbiz.de/10009727970

The effects of volatility spillover in the US basis swap markets

Bhargava, Vivek; Malhotra, Davinder Kumar - In: International journal of financial services management … 5 (2011/11) 3, pp. 216-238

Persistent link: https://www.econbiz.de/10009707033

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

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