Search Results - subject:"volatility impulse response functions"

The relationship between energy and equity markets: Evidence from volatility impulse response functions

Olson, Eric; J. Vivian, Andrew; Wohar, Mark E. - In: Energy Economics 43 (2014) C, pp. 297-305

time varying conditional correlations and time varying dynamic hedge ratios. From volatility impulse response functions, we …This paper examines the relationship between the energy and equity markets by estimating volatility impulse response … functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the S&P 500; in addition, we also calculate the …

Persistent link: https://www.econbiz.de/10011100076

Integration at a cost: Evidence from volatility impulse response functions

Panopoulou, E.; Pantelidis, T. - Department of Economics, National University of Ireland - 2005

We investigate the international information transmission between the U.S. and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A pre-1995 and post- 1995 analysis reveals that the linkages between the markets have changed substantially in the more...

Persistent link: https://www.econbiz.de/10005424471