Search Results - subject:"volatility spillover effect"

Spillover effects between China's new energy and carbon markets and international crude oil market : a look at the impact of extreme events

Zhang, Yong; Tang, Guangyuan; Li, Rong - In: International review of economics & finance : IREF 98 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015331886

Measurement, identification, and spillover effects of systemic risk in the international clean energy market

Zhao, Mingtao; Lu, Suwan; Cui, Lianbiao - In: Energy strategy reviews 52 (2024), pp. 1-14

ICEM through volatility spillover effect (VSE). The results obtained indicate that the occurrence of systemic risk days in …

Persistent link: https://www.econbiz.de/10014583304

Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era: New evidence from the VARX-DCC-MEGARCH model

Liu, Xiaoxing; Shehzad, Khurram - In: Journal of Applied Economics 26 (2023) 1, pp. 1-24

This investigation utilized the VARX-DCC-MEGARCH model assimilated with skewed-t density to analyze the time-different (i.e., daytime, overnight, and daily) connectedness among S&P 500, DAX 30, FTSE-100, Nikkei 225, and Shanghai Composite Index. This investigation discovered that the current...

Persistent link: https://www.econbiz.de/10015334111

Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era : New evidence from the VARX-DCC-MEGARCH model

Liu, Xiaoxing; Shehzad, Khurram - 2023

Persistent link: https://www.econbiz.de/10014516096

Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets : the case of Borsa İstanbul

Gürbüz, Süleyman; Şahbaz, Ahmet - In: Borsa Istanbul Review 22 (2022) 2, pp. 321-331

general volatility spillover effect from the derivatives market to the stock market, except for the frequency that covers all … spillover effect on stock indexes using multivariate GARCH models and wavelet methods. We use the DVECH method, with variables …Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility …

Persistent link: https://www.econbiz.de/10013184127

Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?

Zhang, Wenting; Liu, Tiantian; Zhang, Yulian; Hamori, … - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10014534845

Dynamics of price and volatility spillovers among stock and foreign exchanges: evidence from South Asian Countries

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - In: Journal of economic development 49 (2024) 2, pp. 111-138

Persistent link: https://www.econbiz.de/10015098641

Analyzing a dynamic relation between RMB exchange rate onshore and offshore during the extreme market conditions

Hu, Genhua; Wang, Xiangjin; Qiu, Hong - In: International review of economics & finance : IREF 85 (2023), pp. 408-417

Persistent link: https://www.econbiz.de/10014428037

Impact of the COVID-19 pandemic on volatility spillover across sectors in the US markets

Ahzam, Tariq Syed - In: Advances in Management Research : Emerging Challenges …, (pp. 229-236). 2022

Persistent link: https://www.econbiz.de/10014434885

The volatility spillover effect of macroeconomic indicators on inbound tourism in India

Rastogi, Shailesh; Kanoujiya, Jagjeevan - In: Tourism review 78 (2023) 4, pp. 1092-1115

Persistent link: https://www.econbiz.de/10014323027