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  • Search: subject:"causality in variance"
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Year of publication
Subject
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causality-in-variance 26 Volatilität 24 Volatility 22 Causality-in-variance 21 Börsenkurs 13 Share price 12 Spillover-Effekt 12 Causality analysis 11 Kausalanalyse 11 Spillover effect 11 ARCH model 10 ARCH-Modell 10 Aktienmarkt 10 Exchange rate 10 Stock market 10 Wechselkurs 9 causality in variance 9 Causality-in-mean 7 Herding 7 Kapitaleinkommen 7 speculation 7 spillovers 7 Capital income 6 Theorie 6 Theory 6 currency and commodity markets 6 futures and spot markets 6 hedging 6 noise traders 6 time-varying volatility 6 Cointegration 5 Schätzung 5 Stock prices 5 Structural break 5 Emerging economies 4 Estimation 4 Exchange rates 4 Rohstoffderivat 4 Schwellenländer 4 Spillovers 4
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Online availability
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Free 35 Undetermined 21 CC license 1
Type of publication
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Article 38 Book / Working Paper 33
Type of publication (narrower categories)
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Article in journal 25 Aufsatz in Zeitschrift 25 Working Paper 13 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 1 Collection of articles of several authors 1 Hochschulschrift 1 Sammelwerk 1 Thesis 1
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Language
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English 42 Undetermined 29
Author
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Caporale, Guglielmo Maria 12 Ali, Faek Menla 10 McAleer, Michael 8 Hunter, John 7 Radalj, Kim 7 Spagnolo, Nicola 5 Hamori, Shigeyuki 4 Tamakoshi, Go 4 Atukeren, Erdal 3 Diekmann, Katharina 3 Go, You-How 3 Hadj Amor, Thouraya 3 Korkmaz, Turhan 3 Nouira, Ridha 3 Rault, Christophe 3 Ahmed, Walid M. A. 2 Döpke, Jörg 2 Ho, Liang-Chun 2 Huang, Chia-Hsing 2 Inoue, Takeshi 2 Lau, Wee-Yeap 2 Madrak-Grochowska, Malgorzata 2 Menla Ali, Faek 2 Pierdzioch, Christian 2 Stolbov, Mikhail 2 Taşdemir, Murat 2 Toyoshima, Yuki 2 Yalama, Abdullah 2 Zurek, Miroslawa 2 Çevik, Emrah İ. 2 Abu Hassan Shaari Mohd Nor 1 Adekoya, Oluwasegun B. 1 Akinseye, Ademola B. 1 Balcilar, Mehmet 1 Cevik, Emrah I. 1 Fan, Jianqing 1 Fortenbery, T. Randall 1 Guo, Shaojun 1 Gupta, Rangan 1 Hafner, C.M. 1
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Institution
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CESifo 2 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Institut für Weltwirtschaft (IfW) 2 Agricultural and Applied Economics Association - AAEA 1 Department of Economics and Finance, College of Business and Economics 1 Erasmus University Rotterdam, Econometric Institute 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Institut für Empirische Wirtschaftsforschung, Fachbereich Wirtschaftswissenschaften 1 Institute of Developing Economies, Japan External Trade Organization (JETRO) 1 Institute of Economic Research, Kyoto University 1 London School of Economics (LSE) 1 Tinbergen Instituut 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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CESifo Working Paper 3 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 3 CESifo Working Paper Series 2 DIW Discussion Papers 2 Discussion Papers of DIW Berlin 2 Econometric Institute Research Papers 2 Journal of Asian finance, economics and business : JAFEB 2 Oeconomia Copernicana 2 The Singapore economic review : journal of the Economic Society of Singapore and the Department of Economics, National University of Singapore 2 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 1 Acta Universitatis Nicolai Copernici, Ekonomia 1 Applied economics 1 Asia-Pacific financial markets 1 CESifo working papers 1 Discussion Paper Series 1 Discussion paper / Tinbergen Institute 1 Documentos de Trabajo del ICAE 1 Econometric Institute Report 1 Economic research 1 Economics : the open-access, open-assessment e-journal 1 Economics Discussion Papers 1 Economics Discussion Papers / Institut für Weltwirtschaft (IfW) 1 Economics and finance working paper series 1 Emerging Markets Finance and Trade 1 Emerging Markets Review 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Emerging markets review 1 Energy economics 1 Finance research letters 1 IDE Discussion Papers 1 International Review of Financial Analysis 1 International journal of bonds and derivatives 1 International journal of finance & economics : IJFE 1 International review of financial analysis 1 Japan and the World Economy 1 Japan and the world economy : international journal of theory and policy 1 Journal of Applied Statistics 1 Journal of Economics and Finance 1 Journal of Reviews on Global Economics 1 Journal of Risk and Financial Management 1
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Source
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RePEc 31 ECONIS (ZBW) 30 EconStor 10
Showing 51 - 60 of 71
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Spillovers among CDS indexes in the US financial sector
Tamakoshi, Go; Hamori, Shigeyuki - In: The North American Journal of Economics and Finance 27 (2014) C, pp. 104-113
structural breaks in the variances as well as removing the causality-in-mean effects in the causality-in-variance tests, we … significant causality-in-variance effects from the financial services sector CDS index to that of the banking sector, implying the …
Persistent link: https://www.econbiz.de/10010753551
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Volatility spillover effects in interregional equity markets : empirical evidence from Brazil and Turkey
Taşdemir, Murat; Yalama, Abdullah - In: Emerging markets finance & trade : a journal of the … 50 (2014) 2, pp. 190-202
Persistent link: https://www.econbiz.de/10010403071
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Cover Image
Spillovers among CDS indexes in the US financial sector
Tamakoshi, Go; Hamori, Shigeyuki - In: The North American journal of economics and finance : a … 27 (2014), pp. 104-113
Persistent link: https://www.econbiz.de/10010460893
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Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns
Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of economics and finance 38 (2014) 4, pp. 627-642
Persistent link: https://www.econbiz.de/10011333821
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On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - In: International review of financial analysis 33 (2014), pp. 87-103
Persistent link: https://www.econbiz.de/10010520069
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Asymmetric information spillovers between trading volume and price changes in Malaysian futures market
Go, You-How; Lau, Wee-Yeap - In: Journal of Asian finance, economics and business : JAFEB 1 (2014) 3, pp. 5-16
Persistent link: https://www.econbiz.de/10011687815
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - Department of Economics and Finance, College of … - 2013
causality-in-variance is used to analyse if vola-tility among small traders spills over into spot markets, it is found that …
Persistent link: https://www.econbiz.de/10010907422
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Testing intraday volatility spillovers in Turkish capital markets : evidence from ISE
Okur, Mustafa; Cevik, Emrah I. - In: Economic research 26 (2013) 3, pp. 99-116
Persistent link: https://www.econbiz.de/10010197040
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Spillovers between business confidence and stock returns in Greece, Italy, Portugal, and Spain
Atukeren, Erdal; Korkmaz, Turhan; Çevik, Emrah I. - In: International journal of finance & economics : IJFE 18 (2013) 3, pp. 205-215
Persistent link: https://www.econbiz.de/10010355982
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The Granger causality analysis of crude oil futures price and U.S. dollar value
Let, Blanka - In: Acta Universitatis Nicolai Copernici, Ekonomia 43 (2012) 2, pp. 221-231
The paper presents the results of causality-in-mean and causality-in-variance tests among crude oil futures price and U …
Persistent link: https://www.econbiz.de/10010875585
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