Narrow search
Showing 1 - 8 of 8
Cover Image
Cross-Market Spillovers with ‘Volatility Surprise’
Aboura, Sofiane - 2015
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10013033099
Cover Image
Dynamic spillovers between gulf cooperation council's stocks, VIX, oil and gold volatility indices
Alqahtani, Abdullah; Chevallier, Julien - In: Journal of risk and financial management : JRFM 13 (2020) 4/69, pp. 1-17
oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC-GARCH …
Persistent link: https://www.econbiz.de/10012302563
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2009
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10010707372
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10010707678
Cover Image
Options Introduction and Volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - HAL - 2009
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10008794422
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - In: Resource and Energy Economics 33 (2011) 4, pp. 855-880
April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous …
Persistent link: https://www.econbiz.de/10010576622
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10008479209
Cover Image
Options introduction and volatility in the EU ETS.
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10008460929