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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

International Financial Integration : Stock Return Linkage and Volatility Transmission between Vietnam and Other Advanced Countries

Vo, Xuan Vinh - 2017

spillover and volatility linkage between Vietnamese stock market with other leading stock markets of the US, Hong Kong and Japan … terms of return linkage and volatility transmission covering the period including pre, during and post the 2008 Global … employed to investigate the volatility transmission. We find evidence of statistically significant correlation, return …

Persistent link: https://www.econbiz.de/10012968438

Forecasting global equity market volatilities

Zhang, Yaojie; Ma, Feng; Liao, Yin - In: International journal of forecasting 36 (2020) 4, pp. 1454-1475

Persistent link: https://www.econbiz.de/10012546804

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …

Persistent link: https://www.econbiz.de/10012486245

Analysis of financial contagion in influential African stock markets

Aderajo, Oluwatosin Mary; Olaniran, Oladotun Daniel - In: Future Business Journal 7 (2021), pp. 1-9

variance estimation shows that the crisis period is characterized by substantial increases in volatility, establishing that the …

Persistent link: https://www.econbiz.de/10012493750

Cross-asset time-series momentum : crude oil volatility and global stock markets

Fernandez-Perez, Adrian; Indriawan, Ivan; Tse, Yiuman; … - In: Journal of banking & finance 154 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014492117

Forecasting international equity market volatility : a new approach

Liang, Chao; Li, Yan; Ma, Feng; Zhang, Yaojie - In: Journal of forecasting 41 (2022) 7, pp. 1433-1457

Persistent link: https://www.econbiz.de/10013465704

Discovering the drivers of stock market volatility in a data-rich world

Chun, Dohyun; Cho, Hoon; Ryu, Doojin - In: Journal of international financial markets, … 82 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014245870

Time-varying asymmetric tail dependence of international equities markets

Zhou, Chunyang; Qin, Xiao - In: Pacific-Basin finance journal 68 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013332425

Momentum, sovereign credit ratings and global equity markets

Grobys, Klaus - In: Applied economics letters 21 (2014) 16/18, pp. 1288-1292

Persistent link: https://www.econbiz.de/10010467472