Search Results - subject:"multiplicative error model" - EconBiz

The impact of WTI futures on Shanghai crude futures : identifying spillover effects on crude oil prices using the multiplicative error model

Forgione, Antonio Fabio; Migliardo, Carlo; Otranto, Edoardo - In: Journal of economic studies 52 (2025) 9, pp. 215-233

Persistent link: https://www.econbiz.de/10015574303

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - 2024

This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes...

Persistent link: https://www.econbiz.de/10015193996

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - 2024

This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes...

Persistent link: https://www.econbiz.de/10015149616

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - In: Energy economics 136 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015046875

Asymmetric volatility spillover between crude oil and other asset markets

Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - In: Energy economics 130 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014559169

Asymmetric volatility spillover between crude oil and other asset markets

Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - 2023

This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and …

Persistent link: https://www.econbiz.de/10014480566

Volatility jumps and the classification of monetary policy announcements

Gallo, Giampiero M.; Lacava, Demetrio; Otranto, Edoardo - 2023 - Prima edizione

Persistent link: https://www.econbiz.de/10014321842

Asymmetric volatility spillover between crude oil and other asset markets

Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - 2023

This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and …

Persistent link: https://www.econbiz.de/10014433363

Smooth and abrupt dynamics in financial volatility : the MS-MEM-MIDAS

Scaffidi Domianello, Luca; Gallo, Giampiero M.; … - 2022 - Prima edizione

Persistent link: https://www.econbiz.de/10014261237

Doubly multiplicative error models with long- and short-run components

Amendola, Adalgiso; Candila, V.; Cipollini, F.; Gallo, … - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014528556

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