Search Results - subject:"Volatility Spillover"

Heterogeneity in the volatility spillover of cryptocurrencies and exchanges

Wu, Meiyu; Wang, Li; Yang, Haijun - In: Financial innovation : FIN 10 (2024), pp. 1-46

. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be …, we identify the determinants of total connectedness in two types of volatility spillover, which can explain …

Persistent link: https://www.econbiz.de/10014547084

Revisiting the currency-commodity nexus : new insights into the R² decomposed connectedness and the role of global shocks

Huang, Jionghao; Li, Hongqiao; Chen, Baifan; Liu, Mengai; … - In: International review of economics & finance : IREF 98 (2025), pp. 1-39

Persistent link: https://www.econbiz.de/10015330663

The implications of non-synchronous trading in G-7 financial markets

Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - 2025

Persistent link: https://www.econbiz.de/10015337909

Spillover effects between China's new energy and carbon markets and international crude oil market : a look at the impact of extreme events

Zhang, Yong; Tang, Guangyuan; Li, Rong - In: International review of economics & finance : IREF 98 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015331886

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - 2024

driving volatility spillover, especially towards the Crude Oil market, changes markedly in the context of macroeconomic shocks …

Persistent link: https://www.econbiz.de/10015193996

The impact of domestic and global factors on individual public, domestic and foreign bank performances in Türkiye

Çiçek, Serkan; Yıldırım, Aynur - In: Central Bank Review (CBR) 24 (2024) 1, pp. 1-16

The Turkish economy has encountered significant shocks in interest rates and foreign exchange along with global risks in recent years. These shocks had an impact not only on the real sector but also on the banking sector's returns, depending on the ownership structure. This study examines the...

Persistent link: https://www.econbiz.de/10014547710

Navigating volatility spillover amidst investor extreme fear in stablecoin and financial markets

Ti, Alicia; Husodo, Zaäfri Ananto - In: Cogent economics & finance 12 (2024) 1, pp. 1-21

volatility spillover across markets remains uncertain. This research investigates the influence of investor sentiment … classification on the volatility spillover from stablecoins to conventional financial markets. Empirical findings reveal the role of …

Persistent link: https://www.econbiz.de/10015325996

Interconnectedness and spillover effects amongst stock markets of the US, China, Germany, Japan and India using DCC-GARCH model and Diebold yilmaz method

Agarwal, Archana; Dhankhar, Nidhi; Mehla, Sunita - In: Colombo business journal : international journal of … 15 (2024) 2, pp. 162-189

Persistent link: https://www.econbiz.de/10015210715

Importance of geopolitical risk in volatility structure : new evidence from biofuels, crude oil, and grains commodity markets

Karkowska, Renata; Urjasz, Szczepan - In: Journal of commodity markets : JCM 36 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10015162612

Metaverse and financial markets : a quantile-time-frequency connectedness analysis

Aysan, Ahmet Faruk; Batten, Jonathan A.; Gozgor, Giray; … - In: Research in international business and finance 72 (2024) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10015065740