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  • Search: subject:"Volatility Spillovers"
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Year of publication
Subject
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volatility spillovers 104 Volatilität 93 Volatility 85 Spillover-Effekt 83 Spillover effect 77 Volatility spillovers 56 ARCH model 50 ARCH-Modell 50 Volatility Spillovers 34 Aktienmarkt 30 Stock market 26 Welt 24 World 22 multivariate GARCH 22 Capital income 21 Kapitaleinkommen 21 Finanzmarkt 20 Börsenkurs 17 Financial market 17 contagion 15 Energiemarkt 14 Energy market 14 Financial crisis 14 Finanzkrise 13 Share price 13 Schätzung 12 Estimation 11 USA 11 stock markets 11 Internationaler Finanzmarkt 10 United States 10 Virtual currency 10 Virtuelle Währung 10 emerging markets 10 mean and volatility spillovers 10 Ansteckungseffekt 9 EU countries 9 EU-Staaten 9 Portfolio-Management 9 Theorie 9
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Online availability
All
Free 237 CC license 28
Type of publication
All
Book / Working Paper 160 Article 76 Other 1
Type of publication (narrower categories)
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Working Paper 67 Article in journal 49 Aufsatz in Zeitschrift 49 Graue Literatur 36 Non-commercial literature 36 Arbeitspapier 32 Article 18 Aufsatzsammlung 1 Conference Paper 1 Hochschulschrift 1 Thesis 1
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Language
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English 165 Undetermined 72
Author
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Spagnolo, Nicola 35 Caporale, Guglielmo Maria 34 McAleer, Michael 34 Chang, Chia-Lin 24 Spagnolo, Fabio 23 Beirne, John 12 Schulze-Ghattas, Marianne 10 Tansuchat, Roengchai 10 Allen, David E. 8 Al-Maadid, Alanoud 7 Kočenda, Evžen 6 McAleer, M.J. 5 Tansuchat, R. 5 Xu, Yongdeng 5 Chang, C-L. 4 Fijorek, Kamil 4 Gómez González, José Eduardo 4 Higgs, Helen 4 Khamkaew, Thanchanok 4 Papież, Monika 4 Wang, Chien-Hsun 4 Śmiech, Sławomir 4 Amaral, Teodosio Perez 3 Avino, Davide 3 Aziz, Tariq 3 Funke, Michael 3 Galati, Luca 3 Guan, Bo 3 Lahiani, Amine 3 Lazar, Emese 3 Loermann, Julius 3 Mazouz, Khelifa 3 Moravcová, Michala 3 Saleem, Kashif 3 Schulz, Franziska 3 Tsang, Andrew 3 Varotto, Simone 3 Aftab, Hira 2 Al-Nassar, Nassar S. 2 Ali, Faek Menla 2
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 12 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 7 Institute of Economic Research, Kyoto University 7 CESifo 6 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 5 Erasmus University Rotterdam, Econometric Institute 5 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 5 Institut de Préparation à l'Administration et à la Gestion (IPAG) 5 School of Economics and Finance, Business School 3 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 2 School of Economics, Kingston University 2 Tinbergen Instituut 2 Agricultural and Applied Economics Association - AAEA 1 Banque de France 1 Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales 1 Department of Economics, European University Institute 1 Department of Economics, Faculty of Business and Economics 1 Department of Economics, National University of Ireland 1 Department of Economics, National University of Singapore 1 Department of Economics, School of Business and Economics 1 Department of Economics, University of Crete 1 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 1 East Asian Bureau of Economic Research (EABER) 1 European Central Bank 1 Facultat d'Economia i Empresa, Universitat de Barcelona 1 Faculteit Economie en Bedrijfskunde, Universiteit Gent 1 Henley Business School, University of Reading 1 Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong 1 Institut für Lebensmittel und Ressourcenökonomik, Rheinische Friedrich-Wilhelms-Universität Bonn 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 Siirtymätalouksien tutkimuslaitos, Suomen Pankki 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Suomen Pankki 1 University of Cyprus Department of Economics 1 Université Paris-Dauphine (Paris IX) 1 William Davidson Institute, University of Michigan 1
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Published in...
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MPRA Paper 12 CESifo Working Paper 9 Econometric Institute Research Papers 7 International Journal of Energy Economics and Policy : IJEEP 7 KIER Working Papers 7 CESifo Working Paper Series 6 CESifo working papers 6 Discussion paper / Tinbergen Institute 6 Journal of Risk and Financial Management 6 Journal of risk and financial management : JRFM 6 Tinbergen Institute Discussion Paper 6 DIW Discussion Papers 5 Discussion Papers of DIW Berlin 5 Documentos de Trabajo del ICAE 5 Econometric Institute Report 5 Financial innovation : FIN 5 Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG) 5 International Journal of Financial Studies : open access journal 4 BOFIT Discussion Papers 3 Cogent Economics & Finance 3 Cogent economics & finance 3 Discussion papers / Deutsches Institut für Wirtschaftsforschung 3 Economics and finance working paper series 3 International Journal of Financial Studies 3 Research in international business and finance 3 School of Economics and Finance Discussion Papers and Working Papers Series 3 Borradores de economía 2 Borsa Istanbul Review 2 CQE Working Papers 2 Cardiff Economics Working Papers 2 Cardiff economics working papers 2 Czech Journal of Economics and Finance (Finance a uver) 2 ECB Working Paper 2 Economics Discussion Papers / School of Economics, Kingston University 2 International journal of economics and financial issues : IJEFI 2 Tinbergen Institute Discussion Papers 2 Working Paper 2 Working paper 2 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 1 Annals of Economics and Finance 1
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Source
All
RePEc 94 ECONIS (ZBW) 85 EconStor 54 BASE 4
Showing 1 - 10 of 237
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Connectedness of cryptocurrency-related stocks and the cryptocurrency market : evidence from the United States
Akyildirim, Erdinc; Corbet, Shaen; Coşkun, Ali; Ercan, … - 2025
Persistent link: https://www.econbiz.de/10015372568
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Global financial market spillovers to the Dhaka Stock Exchange : strategic insights from trade-friendly nations
Borman, Tanmay; Nahiduzzaman, Md.; Kuri, Bapon Chandra; … - In: Thunderbird international business review 67 (2025) 2, pp. 225-246
Persistent link: https://www.econbiz.de/10015334695
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Extended multivariate EGARCH model: A model for zero-return and negative spillovers
Xu, Yongdeng - 2024
This paper introduces an extended multivariate EGARCH model that overcomes the zero-return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear...
Persistent link: https://www.econbiz.de/10015193982
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Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities
Kočenda, Evžen; Moravcová, Michala - 2024
We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...
Persistent link: https://www.econbiz.de/10014534343
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Dynamic spillover between green cryptocurrencies and stocks : a portfolio implication
Yousaf, Imran; Cui, Jinxin; Ali, Shoaib - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10015211784
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A Pandemic's grip : volatility spillovers in Asia-Pacific equity markets during the onset of Covid-19
Kinan Salim; Disli, Mustafa; Nagayev, Ruslan; Ilyas, … - In: Borsa Istanbul Review 24 (2024) 5, pp. 898-907
identifies the factors driving volatility spillovers within Asian-Pacific financial markets during the initial wave of the Covid … the rising number of Covid-19 cases per million and volatility spillovers. We introduce three novel determinants …, mitigate volatility spillovers. Conversely, central bank policies increase volatility spillovers. These insights contribute to …
Persistent link: https://www.econbiz.de/10015141695
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Frequency volatility connectedness and portfolio hedging of U.S. energy commodities
Kočenda, Evžen; Moravcová, Michala - 2024
We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...
Persistent link: https://www.econbiz.de/10014456134
Saved in:
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Return and volatility spillovers between the raw material and electric vehicles markets
Alekseev, Oleg; Janda, Karel; Petit, Mathieu; … - 2024
Persistent link: https://www.econbiz.de/10015397391
Saved in:
Cover Image
Extended multivariate EGARCH model : a model for zero-return and negative spillovers
Xu, Yongdeng - 2024
This paper introduces an extended multivariate EGARCH model that overcomes the zero-return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear...
Persistent link: https://www.econbiz.de/10015151272
Saved in:
Cover Image
Dynamic DeFi-G7 stock markets interactions and their potential role in diversifying and hedging strategies
Esparcia, Carlos; Fakhfakh, Tarek; Jareño, Francisco; … - In: Financial innovation : FIN 10 (2024), pp. 1-26
This study examines the link between stocks and decentralized finance (DeFi) in terms of returns and volatility. Major G7 exchange-traded funds (ETFs) and various highly traded DeFi assets are considered to ensure the robustness of the empirical experiment. Specifically, this study applies the...
Persistent link: https://www.econbiz.de/10015361554
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