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  • Search: subject:"Causality in variance"
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Year of publication
Subject
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causality-in-variance 26 Volatilität 24 Volatility 22 Causality-in-variance 21 Börsenkurs 13 Share price 12 Spillover-Effekt 12 Causality analysis 11 Kausalanalyse 11 Spillover effect 11 ARCH model 10 ARCH-Modell 10 Aktienmarkt 10 Exchange rate 10 Stock market 10 Wechselkurs 9 causality in variance 9 Causality-in-mean 7 Herding 7 Kapitaleinkommen 7 speculation 7 spillovers 7 Capital income 6 Theorie 6 Theory 6 currency and commodity markets 6 futures and spot markets 6 hedging 6 noise traders 6 time-varying volatility 6 Cointegration 5 Schätzung 5 Stock prices 5 Structural break 5 Emerging economies 4 Estimation 4 Exchange rates 4 Rohstoffderivat 4 Schwellenländer 4 Spillovers 4
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Online availability
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Free 35 Undetermined 21 CC license 1
Type of publication
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Article 38 Book / Working Paper 33
Type of publication (narrower categories)
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Article in journal 25 Aufsatz in Zeitschrift 25 Working Paper 13 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 1 Collection of articles of several authors 1 Hochschulschrift 1 Sammelwerk 1 Thesis 1
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Language
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English 42 Undetermined 29
Author
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Caporale, Guglielmo Maria 12 Ali, Faek Menla 10 McAleer, Michael 8 Hunter, John 7 Radalj, Kim 7 Spagnolo, Nicola 5 Hamori, Shigeyuki 4 Tamakoshi, Go 4 Atukeren, Erdal 3 Diekmann, Katharina 3 Go, You-How 3 Hadj Amor, Thouraya 3 Korkmaz, Turhan 3 Nouira, Ridha 3 Rault, Christophe 3 Ahmed, Walid M. A. 2 Döpke, Jörg 2 Ho, Liang-Chun 2 Huang, Chia-Hsing 2 Inoue, Takeshi 2 Lau, Wee-Yeap 2 Madrak-Grochowska, Malgorzata 2 Menla Ali, Faek 2 Pierdzioch, Christian 2 Stolbov, Mikhail 2 Taşdemir, Murat 2 Toyoshima, Yuki 2 Yalama, Abdullah 2 Zurek, Miroslawa 2 Çevik, Emrah İ. 2 Abu Hassan Shaari Mohd Nor 1 Adekoya, Oluwasegun B. 1 Akinseye, Ademola B. 1 Balcilar, Mehmet 1 Cevik, Emrah I. 1 Fan, Jianqing 1 Fortenbery, T. Randall 1 Guo, Shaojun 1 Gupta, Rangan 1 Hafner, C.M. 1
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Institution
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CESifo 2 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Institut für Weltwirtschaft (IfW) 2 Agricultural and Applied Economics Association - AAEA 1 Department of Economics and Finance, College of Business and Economics 1 Erasmus University Rotterdam, Econometric Institute 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Institut für Empirische Wirtschaftsforschung, Fachbereich Wirtschaftswissenschaften 1 Institute of Developing Economies, Japan External Trade Organization (JETRO) 1 Institute of Economic Research, Kyoto University 1 London School of Economics (LSE) 1 Tinbergen Instituut 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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CESifo Working Paper 3 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 3 CESifo Working Paper Series 2 DIW Discussion Papers 2 Discussion Papers of DIW Berlin 2 Econometric Institute Research Papers 2 Journal of Asian finance, economics and business : JAFEB 2 Oeconomia Copernicana 2 The Singapore economic review : journal of the Economic Society of Singapore and the Department of Economics, National University of Singapore 2 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 1 Acta Universitatis Nicolai Copernici, Ekonomia 1 Applied economics 1 Asia-Pacific financial markets 1 CESifo working papers 1 Discussion Paper Series 1 Discussion paper / Tinbergen Institute 1 Documentos de Trabajo del ICAE 1 Econometric Institute Report 1 Economic research 1 Economics : the open-access, open-assessment e-journal 1 Economics Discussion Papers 1 Economics Discussion Papers / Institut für Weltwirtschaft (IfW) 1 Economics and finance working paper series 1 Emerging Markets Finance and Trade 1 Emerging Markets Review 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Emerging markets review 1 Energy economics 1 Finance research letters 1 IDE Discussion Papers 1 International Review of Financial Analysis 1 International journal of bonds and derivatives 1 International journal of finance & economics : IJFE 1 International review of financial analysis 1 Japan and the World Economy 1 Japan and the world economy : international journal of theory and policy 1 Journal of Applied Statistics 1 Journal of Economics and Finance 1 Journal of Reviews on Global Economics 1 Journal of Risk and Financial Management 1
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Source
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RePEc 31 ECONIS (ZBW) 30 EconStor 10
Showing 61 - 70 of 71
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Return and volatility spillovers among CIVETS stock markets
Korkmaz, Turhan; Çevik, Emrah İ.; Atukeren, Erdal - In: Emerging Markets Review 13 (2012) 2, pp. 230-252
volatility spillovers between the CIVETS countries by employing causality-in-mean and causality-in-variance tests. The empirical …
Persistent link: https://www.econbiz.de/10011056986
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Central bank intervention and exchange rate behaviour : empirical evidence for India
Inoue, Takeshi - Institute of Developing Economies, Japan External Trade … - 2012
) suggest that there is causality-in-variance from exchange rate returns to central bank intervention, but not vice versa. These …
Persistent link: https://www.econbiz.de/10010583826
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Return and volatility spillovers among CIVETS stock markets
Korkmaz, Turhan; Çevik, Emrah İ.; Atukeren, Erdal - In: Emerging markets review 13 (2012) 2, pp. 230-252
Persistent link: https://www.econbiz.de/10010219488
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Temporal aggregation of multivariate GARCH processes
Hafner, C.M. - Erasmus University Rotterdam, Econometric Institute - 2004
instantaneous causality in variance will only appear in degenerated cases, but that spurious Granger causality will be more common … instantaneous causality in variance will only appear in degenerated cases, but that spurious Granger causality will be more common …: multivariate GARCH, temporal aggregation, causality in variance, volatility forecasts, realized volatility JEL Classification: C22 …
Persistent link: https://www.econbiz.de/10004972260
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Temporal aggregation of multivariate GARCH processes
Hafner, Christian Matthias - Faculteit der Economische Wetenschappen, Erasmus … - 2004
instantaneous causality in variance will only appear in degenerated cases, but that spurious Granger causality will be more common …
Persistent link: https://www.econbiz.de/10010837792
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TESTING FOR CAUSALITY IN VARIANCE FOR WORLD STOCK EXCHANGE INDEXES
Madrak-Grochowska, Malgorzata; Zurek, Miroslawa - In: Oeconomia Copernicana 2 (2011) 4, pp. 5-27
world (ATX, DAX, NASDAQ, NIKKEI, FTSE and WIG20), with special emphasis on the causality in variance. Due to the …
Persistent link: https://www.econbiz.de/10011273813
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TESTING FOR CAUSALITY IN VARIANCE FOR WORLD STOCK EXCHANGE INDEXES
Madrak-Grochowska, Malgorzata; Zurek, Miroslawa - In: Oeconomia Copernicana 4 (2011), pp. 5-27
world (ATX, DAX, NASDAQ, NIKKEI, FTSE and WIG20), with special emphasis on the causality in variance. Due to the …
Persistent link: https://www.econbiz.de/10011273891
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The effect of spillover on the Granger causality test
Mantalos, Panagiotis; Shukur, Ghazi - In: Journal of Applied Statistics 37 (2010) 9, pp. 1473-1486
autoregressive models under the presence of spillover effects, that is, causality in variance. The Wald test and the WW test (the …
Persistent link: https://www.econbiz.de/10008674960
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Brokers and business cycles: Does financial market volatility cause real fluctuations?
Döpke, Jörg; Pierdzioch, Christian - 1998
This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of...
Persistent link: https://www.econbiz.de/10010275423
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Brokers and business cycles: Does financial market volatility cause real fluctuations?
Döpke, Jörg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 1998
This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of...
Persistent link: https://www.econbiz.de/10009276110
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