Search Results - subject:"Volatility spillover index"

Volatility spillovers among the three places across the Taiwan strait : evidence from a BEKK-CARR approach

Wu, Chun Chou; Xu, Wen - In: Asia-Pacific journal of financial studies 51 (2022) 6, pp. 896-913

Persistent link: https://www.econbiz.de/10014240210

Volatility Spillovers from Australia's Major Trading Partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert J.; … - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10010491330

Volatility Spillovers from Australia's major trading partners across the GFC

Allen, David Edmund; McAleer, Michael; Singh, Abhay K. - Facultad de Ciencias Económicas y Empresariales, … - 2014

Persistent link: https://www.econbiz.de/10011162543

Volatility Spillovers from Australia's Major Trading Partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Tinbergen Instituut - 2014

Persistent link: https://www.econbiz.de/10011272594

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

Persistent link: https://www.econbiz.de/10010391535

Conditional Autoregregressive Range (CARR) Based Volatility Spillover Index For the Eurozone Markets

Bayraci, Selcuk; Demiralay, Sercan - Volkswirtschaftliche Fakultät, … - 2013

empirical findings, based on a data set covering a fifteen year period (1998-2013), suggest a total volatility spillover index … markets. Moreover, rolling window analysis shows that volatility spillover index is relatively higher during the turmoil …

Persistent link: https://www.econbiz.de/10011110487