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Investigating abnormal volatility transmission patterns between emerging and developed stock markets : a case study

Spulbăr, Cristi; Trivedi, Jatin; Birau, Ramona - In: Journal of business economics and management 21 (2020) 6, pp. 1561-1592

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present … emerging stock markets capture the volatility patterns of developed stock markets located in the same region. The empirical … (Canada), NIKKEI225 (Japan), DAX (Germany), CAC40 (France) and five emerging stock market indices, i.e. BET (Romania), WIG20 …

Persistent link: https://www.econbiz.de/10012505328

On equity risk prediction and tail spillovers

Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393

Persistent link: https://www.econbiz.de/10011960379

Risk transmission between Islamic and conventional stock markets : a return and volatility spillover analysis

Shahzad, Syed Jawad Hussain; Ferrer, Román; Ballester, … - In: International review of financial analysis 52 (2017), pp. 9-26

Persistent link: https://www.econbiz.de/10011868686

Volatility spillovers among G7, E7 stock markets and cryptocurrencies

Aydoğan, Berna; Vardar, Gülin; Taçoğlu, Caner - In: Journal of economic and administrative sciences 40 (2024) 2, pp. 364-387

Persistent link: https://www.econbiz.de/10014632207

COVID-19's impact of the return and volatility spillovers between the US and Asian stock markets

Hwang, Jae-Kwang - In: Journal of international business and economics : JIBE 22 (2022) 3, pp. 5-10

Persistent link: https://www.econbiz.de/10014246658

Dynamic risk spillovers from oil to stock markets : fresh evidence from GARCH copula quantile regression-based CoVaR model

Tian, Maoxi; Alshater, Muneer Maher; Yoon, Seong-min - In: Energy economics 115 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013541787

Volatility spillover between Germany, France, and CEE stock markets

Chirilă, Viorica; Chirilă, Ciprian - In: Journal of business economics and management 23 (2022) 6, pp. 1280-1298

financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …

Persistent link: https://www.econbiz.de/10013500945

Dynamic connectedness and volatility spillover effects of Indian stock market with international stock markets : an empirical investigation using DCC GARCH

Sainath, A. R.; Gnanendra, M.; Mohanasundaram, T.; … - In: Scientific papers of the University of Pardubice 31 (2023) 1, pp. 1-10

several international indices, including the United States, Australia, China, Germany, England, Japan, and Taiwan. Our … analysis indicates a significant level of volatility spillover between the Indian stock market and the international stock …

Persistent link: https://www.econbiz.de/10014442259

Structural change in the correlation, return and volatility spillovers : evidence from the oil, stock and exchange rate markets in the United States

Su, Jung-bin - In: Economic research 35 (2022) 1,6, pp. 6918-6944

Persistent link: https://www.econbiz.de/10014428554

Forecasting global stock market volatility : the impact of volatility spillover index in spatial-temporal graph-based model

Son, Bumho; Lee, Yunyoung; Park, Seongwan; Lee, Jaewook - In: Journal of forecasting 42 (2023) 7, pp. 1539-1559

Persistent link: https://www.econbiz.de/10014432719