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The effect of spillover on volatility forecasting : an empirical study in Indian Stock Market

Karmakar, Madhusudan; Shukla, Girja Kant - In: Metamorphosis : a journal of management research 15 (2016) 1, pp. 20-30

Persistent link: https://www.econbiz.de/10011625682

Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

Persistent link: https://www.econbiz.de/10012006352

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets

Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243

Persistent link: https://www.econbiz.de/10014232428

Forecasting aggregate stock market volatility with industry volatilities : the role of spillover index

He, Mengxi; Wang, Yudong; Zeng, Qing; Zhang, Yaojie - In: Research in international business and finance 65 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014435752

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

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

Novel evidence from APEC countries on stock market integration and volatility spillover : a Diebold and Yilmaz approach

Kakran, Shubham; Sidhu, Arpit; Bajaj, Parminder Kaur; … - In: Cogent economics & finance 11 (2023) 2, pp. 1-23

. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness … among APEC stock markets. The objective is to identify major transmitters of volatility spillovers and assess the magnitude … of different crisis cycles. The results show that the US is the major contributor (69.54%) to volatility spillovers in …

Persistent link: https://www.econbiz.de/10014502815

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets

Smales, Lee A. - 2019

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is …Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in …

Persistent link: https://www.econbiz.de/10012867250

Asymmetric volatility spillovers between economic policy uncertainty and stock markets : evidence from China

Wang, Ziwei; Li, Youwei; He, Feng - In: Research in international business and finance 53 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012549831