Narrow search
Showing 181 - 190 of 52,298
Cover Image
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016
The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...
Persistent link: https://www.econbiz.de/10011441709
Cover Image
Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020
time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …
Persistent link: https://www.econbiz.de/10012226706
Cover Image
Energy contagion analysis : a new perspective with application to a small petroleum economy
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2018
We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods …-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of … the small petroleum economy of Trinidad and Tobago. By defining our samples for the contagion measures in terms of calm …
Persistent link: https://www.econbiz.de/10011922053
Cover Image
Contagion testing in embryonic markets under alternative stressful US market scenarios
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into …
Persistent link: https://www.econbiz.de/10012156543
Cover Image
A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
Audigé, Henri - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and “wake-up call …
Persistent link: https://www.econbiz.de/10010992421
Cover Image
Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
Jung, R.C.; Maderitsch, R. - In: Journal of Banking & Finance 47 (2014) C, pp. 331-342
of contagion, suggesting strong and sudden increases in the cross-market synchronization of chronologically succeeding … into account, we find no evidence of contagion anymore. …
Persistent link: https://www.econbiz.de/10010931661
Cover Image
Trends and convergence in global housing markets
Yunus, Nafeesa - In: Journal of International Financial Markets, … 36 (2015) C, pp. 100-112
This study evaluates the degree of convergence among the housing markets of 10 major economies across North America, Europe and Asia. Long-run results indicate that the housing markets have become increasingly interdependent over time and more so after the onset of the most recent housing...
Persistent link: https://www.econbiz.de/10011263383
Cover Image
Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns
Thomadakis, Apostolos - School of Economics, University of Surrey - 2012
classes as the economy is at a bear state, can be classified as contagion. Firstly, I show that a two-state model, with …
Persistent link: https://www.econbiz.de/10009492799
Cover Image
A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
Henri Audigé - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and â …
Persistent link: https://www.econbiz.de/10010610178
Cover Image
Wavelet-based evidence of the impact of oil prices on stock returns
Reboredo, Juan C.; Rivera-Castro, Miguel A. - In: International Review of Economics & Finance 29 (2014) C, pp. 145-176
oil–stock price relationship at different time scales, in revealing contagion and interdependence between oil and stock … gas company stock). At both levels, however, with the onset of the financial crisis we found evidence of contagion and …
Persistent link: https://www.econbiz.de/10010729748