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Structural models: intra- inter-day volatility transmission and spillover persistence of the HSI, HSIF and S&P500 futures
Gannon, Gerard L. - In: International review of financial analysis 7 (1998) 1, pp. 19-36
Persistent link: https://www.econbiz.de/10001252958
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Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR
Chen, Yanhui; Lai, Kin Keung; Du, Jiangze - In: Eurasian economic review : a journal in applied … 4 (2014) 2, pp. 113-132
Persistent link: https://www.econbiz.de/10010514801
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Modeling volatility linkages between Shanghai and Hong Kong stock markets before and after the connect program
Lin, Wensheng - In: Economic modelling 67 (2017), pp. 346-354
Persistent link: https://www.econbiz.de/10011813838
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The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference
Sheng, Lin Wen; Uddin, Mohammed Gazi Salah; Sen, Ding; … - In: International review of financial analysis 91 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014446963
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COVID-19′s impact on the spillover effect across the Chinese and U.S. stock markets
Zhang, Yongmin; Mao, Jiaying - In: Finance research letters 47 (2022) 2, pp. 1-11
Persistent link: https://www.econbiz.de/10013553645
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Dynamic interactions among macroeconomic variables and stock indexes in Taiwan, Hong Kong, and China
Lai, Syouching; Cheng, Teng Yuan; Li, Hung-Chih; Chien, … - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 213-235
Persistent link: https://www.econbiz.de/10010258905
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Volatility spillover impact of FII and MF net equity flows on the Indian sectoral stock indices : recent evidence using BEKK-GARCH
Aggarwal, Vaibhav; Doifode, Adesh; Tiwary, Mrityunjay Kumar - In: International journal of Indian culture and business … 22 (2021) 3, pp. 350-363
Persistent link: https://www.econbiz.de/10012511230
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Return and volatility spillover effects between rupee-dollar exchange rate and Asian stock indices
Mahalakshmi S.; Thiyagarajan, S.; Vasudevan, Gopala; … - In: Journal of emerging market finance 21 (2022) 4, pp. 428-450
Persistent link: https://www.econbiz.de/10013479483
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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …
Persistent link: https://www.econbiz.de/10014295230
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Analyzing the COVID-19 pandemic volatility spillover influence on the collaboration of foreign and Indian stock markets
Das, Runumi; Debnath, Arabinda - In: Revista finanzas y política económica 14 (2022) 2, pp. 411-452
Persistent link: https://www.econbiz.de/10013383620