Search Results - subject:"Volatility impulse response"

On the risk spillover across the oil market, stock market, and the oil related CDS sectors : a volatility impulse response approach

Balcilar, Mehmet; Hammoudeh, Shawkat; Toparli, Elif Akay - In: Energy economics 74 (2018), pp. 813-827

Persistent link: https://www.econbiz.de/10011972977

Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis

Eraslan, Sercan; Ali, Faek Menla - In: Economics letters 172 (2018), pp. 59-62

Persistent link: https://www.econbiz.de/10012022066

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262

Persistent link: https://www.econbiz.de/10011774739

Contagion effects and volatility impulse responses between US and Asian stock markets

Kang, Sang Hoon; Ko, Hee-un; Yoon, Seong-min - In: Korea and the world economy 18 (2017) 2, pp. 111-130

Persistent link: https://www.econbiz.de/10011736792

Global financial crisis and emerging stock market contagion : a volatility impulse response function approach

Jin, Xiaoye; An, Ximeng - In: Research in international business and finance 36 (2016), pp. 179-195

Persistent link: https://www.econbiz.de/10011594396

Volatility transmission and volatility impulse response functions among the Greater China stock markets

Jin, Xiaoye - In: Journal of Asian economics 39 (2015), pp. 43-58

Persistent link: https://www.econbiz.de/10011566465

Volatility transmission and volatility impulse response functions in European electricity forward markets

PEN, Yannick LE; SEVI, Benoît - Centre de Recherche en Économie et Droit de … - 2008

of International Money and Finance 25, 719-740] Volatility Impulse Response Function(VIRF) to quantify the impact of …

Persistent link: https://www.econbiz.de/10005739861

The relationship between energy and equity markets: Evidence from volatility impulse response functions

Olson, Eric; J. Vivian, Andrew; Wohar, Mark E. - In: Energy Economics 43 (2014) C, pp. 297-305

This paper examines the relationship between the energy and equity markets by estimating volatility impulse response … time varying conditional correlations and time varying dynamic hedge ratios. From volatility impulse response functions, we …

Persistent link: https://www.econbiz.de/10011100076

Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach

Ajmi, Ahdi N.; Babalos, Vassilios; Economou, Fotini; … - Department of Economics, Faculty of Economic and … - 2014

This paper investigates the impact of macroeconomic effects of uncertainty on the conditional volatility of US-listed Real Estate Investment Trusts (REITs). To this end we employ three widely accepted US REITs indices and the two uncertainty indices constructed by Baker et al. (2013). Our sample...

Persistent link: https://www.econbiz.de/10011095443

Integration at a cost: Evidence from volatility impulse response functions

Panopoulou, E.; Pantelidis, T. - Department of Economics, National University of Ireland - 2005

the volatility spillovers between the international stock markets by means of a Volatility Impulse Response Analysis. Our …

Persistent link: https://www.econbiz.de/10005424471