Search Results - subject:"volatility impulse response function"

The US-China trade war and the volatility linkages between energy and agricultural commodities

Cheng, Natalie Fang Ling; Hasanov, Akram Shavkatovich; … - In: Energy economics 120 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014284707

Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets

Green, Rikard; Larsson, Karl; Lunina, Veronika; … - 2016

different market conditions. We use a general VAR-BEKK model and the volatility impulse response function methodology to analyze …

Persistent link: https://www.econbiz.de/10013208746

Cross-commodity news transmission and volatility spillovers in the German energy markets

Green, Rikard; Larsson, Karl; Lunina, Veronika; … - In: Journal of banking & finance 95 (2018), pp. 231-243

Persistent link: https://www.econbiz.de/10011966754

Global financial crisis and emerging stock market contagion : a volatility impulse response function approach

Jin, Xiaoye; An, Ximeng - In: Research in international business and finance 36 (2016), pp. 179-195

Persistent link: https://www.econbiz.de/10011594396

Volatility transmission and volatility impulse response functions among the Greater China stock markets

Jin, Xiaoye - In: Journal of Asian economics 39 (2015), pp. 43-58

Persistent link: https://www.econbiz.de/10011566465

Volatility transmission and volatility impulse response functions in European electricity forward markets

PEN, Yannick LE; SEVI, Benoît - Centre de Recherche en Économie et Droit de … - 2008

of International Money and Finance 25, 719-740] Volatility Impulse Response Function(VIRF) to quantify the impact of …

Persistent link: https://www.econbiz.de/10005739861

Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach

Ajmi, Ahdi N.; Babalos, Vassilios; Economou, Fotini; … - Department of Economics, Faculty of Economic and … - 2014

This paper investigates the impact of macroeconomic effects of uncertainty on the conditional volatility of US-listed Real Estate Investment Trusts (REITs). To this end we employ three widely accepted US REITs indices and the two uncertainty indices constructed by Baker et al. (2013). Our sample...

Persistent link: https://www.econbiz.de/10011095443

Volatility transmission and volatility impulse response functions in European electricity forward markets

Sévi, Benoît; Le Pen, Yannick - Université Paris-Dauphine (Paris IX) - 2010

of International Money and Finance 25, 719–740] Volatility Impulse Response Function (VIRF) to quantify the impact of …

Persistent link: https://www.econbiz.de/10010706560

Volatility transmission and volatility impulse response functions in European electricity forward markets.

Sévi, Benoît; Le Pen, Yannick - Université Paris-Dauphine - 2010

of International Money and Finance 25, 719–740] Volatility Impulse Response Function (VIRF) to quantify the impact of …

Persistent link: https://www.econbiz.de/10008790081