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Comparative analysis of spillover effects in the global stock market under normal and extreme market conditions

Liu, Qiang; Xu, Chen; Xie, Jane - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-20

Using the volatility spillover index method based on the quantile vector autoregression (QVAR) model, this paper … traditional volatility spillover index method, which focuses mainly on average spillover effects, the QVAR model-based spillover …

Persistent link: https://www.econbiz.de/10014636288

Realized spill-over effects between stock and foreign exchange market : evidence from regional analysis

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna - In: Global finance journal 28 (2015), pp. 24-37

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Contagion across financial markets during COVID-19 : a look at volatility spillovers between the stock and foreign exchange markets in South Africa

Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - 2022

Persistent link: https://www.econbiz.de/10013166947

Contagion across financial markets during COVID-19 : a look at volatility spillovers between the stock and foreign exchange markets in South Africa

Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - In: Annals of financial economics 17 (2022) 1, pp. 1-46

Persistent link: https://www.econbiz.de/10013189116

To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets

Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29

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Crude oil, stock market, and foreign exchange return volatility and spillover : a GARCH DCC analysis of Indian and Japanese financial market

Mishra, Amritkant - In: International journal of business innovation and research 20 (2019) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10012144491

Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114

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The asymmetric contagion effect from the U.S. stock market around the subprime crisis between 2007 and 2010

Kao, Yu-Sheng; Zhao, Kai; Ku, Yu-Cheng; Nieh, Chien-chung - In: Economic research 32 (2019) 1,3, pp. 2422-2454

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Cascading effect of contagion in Indian stock market : evidence from reachable stocks

Sruthi, Rajan; Shijin, Santhakumar - In: IIMB management review 29 (2017) 4, pp. 235-244

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Volatility modelling and dynamic linkages between Pakistani and leading foreign stock markets : a multivariate GARCH analysis

Ghouse, Ghulam; Khan, Saud Ahmad; Khan, Muhammad Arshad - In: The Pakistan development review : PDR 58 (2019) 3, pp. 265-282

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