Search Results - subject:"Volatility spillover effects"

Volatility spillover and hedging strategies between the European carbon emissions and energy markets

Liu, Jian; Hu, Yue; Yan, Li-Zhao; Chang, Chun Ping - In: Energy strategy reviews 46 (2023), pp. 1-19

Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration. This research thus uses the DCC-MVGARCH model and spillover index method to investigate volatility linkages between the European carbon...

Persistent link: https://www.econbiz.de/10014538776

Investigating the co-volatility spillover effects between cryptocurrencies and currencies at different natures of risk events

Hsu, Shu-Han - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-15

, COVID-19, and the Russian-Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects … significantly. Furthermore, the co-volatility spillover effects between cryptocurrencies and EUR have the largest effects and … fluctuations. Large-cap cryptocurrencies (Bitcoin and Ethereum) have greater co-volatility spillover effects between them and …

Persistent link: https://www.econbiz.de/10014332573

Investigating the co-volatility spillover effects between cryptocurrencies and currencies at different natures of risk events

Hsu, Shu-Han - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

Persistent link: https://www.econbiz.de/10013395912

Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

market, there were significant negative co-volatility spillover effects, specifically corn on subsequent sugarcane co … spillover effects. There are significant positive co-volatility spillover effects in all 6 cases, namely between corn and …-volatility with corn, and sugarcane on subsequent corn co-volatility with sugarcane. In the other 4 cases, there are no significant co-volatility …

Persistent link: https://www.econbiz.de/10011451531

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

Persistent link: https://www.econbiz.de/10011441704

Does FX Volatility Affect the Distributions of Commodity Futures Returns?

Grieb, Terrance - In: International Journal of Financial Research 4 (2013) 4, pp. 1-10

This paper employs a two-step GARCH-M procedure to study price and volatility spillover effects from a series of …

Persistent link: https://www.econbiz.de/10011267689

Return and Volatility Spillovers between Japanese and Chinese Stock MarketsFAn Analysis of Overlapping Trading Hours with High-frequency Data

Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro - Graduate School of Economics, Osaka University - 2012

In this paper we analyze return and volatility spillovers during overlapping trading hours between China (Shanghai Composite Index) and Japan (Nikkei 225 Index) using intraday high-frequency data. We first adjusted the 5-min. returns for intraday periodicity with Flexible Fourier Form (FFF)....

Persistent link: https://www.econbiz.de/10010837063

Financial Crises Contagion: Analysis of the Crise Contagion on the Conditional Volatility of ISE

CETINKAYA, Engin; ALTAY, Erdinc - In: Journal of BRSA Banking and Financial Markets 6 (2012) 2, pp. 185-223

In this research we analysed the contagion of 4 major global crises that are occured after 1990 on ISE conditional variance by using ARMA-EGARCH models. The evidence shows that Mexico, Southeast Asia and Russia crises have statistically significant effects on ISE conditional variance, so they...

Persistent link: https://www.econbiz.de/10010700719