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Did Baltic stock markets offer diversification benefits during the recent financial turmoil? : novel evidence from a nonparametric causality-in-quantiles test

Babalos, Vassilios; Balcilar, Mehmet; Loate, Tumisang B.; … - In: Empirica : journal of european economics 45 (2018) 1, pp. 29-47

Persistent link: https://www.econbiz.de/10011965787

The influence of intraday seasonality on volatility transmission pattern

Alemany, N.; Aragó Manzana, Vicent; Salvador, E. - In: Quantitative finance 19 (2019) 7, pp. 1179-1197

Persistent link: https://www.econbiz.de/10012194754

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

Volatility spillover among sector equity returns under structural breaks

Malik, Farooq - In: Review of quantitative finance and accounting 58 (2022) 3, pp. 1063-1080

Persistent link: https://www.econbiz.de/10013191782

Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study

Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

Persistent link: https://www.econbiz.de/10012695346

Multivariate volatility forecasts for stock market indices

Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499

Persistent link: https://www.econbiz.de/10012792845

Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models

Yu, Lean; Zha, Rui; Stafylas, Dimitrios; He, Kaijian; … - In: International review of financial analysis 68 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012301075

Empirical analyses of volatility spillover from G5 stock markets to Karachi stock exchange

Jan, Waleed; Jebran, Khalil - In: Pakistan journal of commerce and social sciences 9 (2015) 3, pp. 928-939

This study made a pioneering attempt to investigate volatility spillover from G5 countries stock markets to Karachi … relationship between KSE and G5 equity markets. The volatility spillover has been analyzed by GARCH (generalized autoregressive …. The GARCH (1, 1) model reveals significant volatility spillover effect from all G5 equity markets to KSE. Based on …

Persistent link: https://www.econbiz.de/10011928795

Volatility spillover between the US, Chinese and Australian stock markets

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Chi, Wei; … - In: Australian journal of management 43 (2018) 2, pp. 263-285

Persistent link: https://www.econbiz.de/10011890710

Price discovery and volatility spillover with price limits in Chinese A-shares market : a truncated GARCH approach

Adcock, C. J.; Ye, C.; Yin, Shuxing; Zhang, Dalu - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1709-1719

Persistent link: https://www.econbiz.de/10012214762