Search Results - subject:"volatility comovement"

Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models

Liu, Ruipeng; Segnon, Mawuli; Cepni, Oguzhan; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014448138

Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017

The paper considers the problem of volatility co-movement, namely as to whether two nancial returns have perfectly … checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by … Engle and Susmel (1993), who investigated whether international equity markets have volatility co-movement using the …

Persistent link: https://www.econbiz.de/10011662520

Testing for volatility co-movement in bivariate stochastic volatility models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017

The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly … checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by … Engle and Susmel (1993), who investigated whether international equity markets have volatility co-movement using the …

Persistent link: https://www.econbiz.de/10011602570

Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016

The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...

Persistent link: https://www.econbiz.de/10011451526

Testing for a common volatility process and information spillovers in bivariate financial time series models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016

Persistent link: https://www.econbiz.de/10011441709

Volatility contagion : new evidence from market pricing of volatility risk

Raczko, Marek - 2015

Persistent link: https://www.econbiz.de/10011402736

Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market

El GHINI, Ahmed; SAIDI, Youssef - Volkswirtschaftliche Fakultät, … - 2013

.S. markets respectively. To measure the degree of volatility comovement, time-varying correlation coefficients are estimated by …

Persistent link: https://www.econbiz.de/10011114049

Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets

Duncan, Andrew Stuart; Kabundi, Alain - Economic Research Southern Africa (ERSA) - 2011

This paper studies volatility comovement in world equity markets between 1994 and 2008. Global volatility factors are … map variations in volatility comovement over time and across countries. The results indicate that global volatility …

Persistent link: https://www.econbiz.de/10009358927

Volatility Co-movement of ASEAN-5 Equity Markets

Oh, Swee-Ling; Lau, Evan; Puah, Chin-Hong; Abu Mansor, … - Volkswirtschaftliche Fakultät, … - 2010

Purpose – Economic cross-linkages and the increased co-movement of asset prices across international markets are important outcomes as the result of globalization. Hereby, the nature of international stock markets and the extent to which the 1997-1998 East Asian turmoil had affected the market...

Persistent link: https://www.econbiz.de/10008622246

Volatility Co-Movement of Asean-5 Equity Markets

Oh, Swee-Ling; Lau, Evan; Puah, Chin-Hong; Mansor, … - In: Journal of Advanced Studies in Finance I (2010) 1, pp. 23-30

Economic cross-linkages and the increased co-movement of asset prices across international markets are important outcomes as the result of globalization. Hereby, the nature of international stock markets and the extent to which the 1997-1998 East Asian turmoil had affected the market...

Persistent link: https://www.econbiz.de/10008670477