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Structural breaks in volatility spillovers between international financial markets : contagion or mere interdependence?

Jung, Robert; Maderitsch, Robert - In: Journal of banking & finance 47 (2014), pp. 331-342

Persistent link: https://www.econbiz.de/10010506950

Spillover and comovement : the contagion mechanism of systemic risks between the US and Chinese stock markets

Liu, Yaqing; Ouyang, Hongbing - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 109-121

Persistent link: https://www.econbiz.de/10010465130

The asymmetric effect of volatility spillover in global virtual financial asset markets : the case of Bitcoin

Dong, Hao; Chen, Liming; Zhang, Xinyi; Failler, Pierre; … - In: Emerging markets, finance and trade : EMFT 56 (2020) 6, pp. 1293-1311

Persistent link: https://www.econbiz.de/10012211636

Long-run comovements in East Asian stock market volatility

Truchis, Gilles de; Keddad, Benjamin - In: Open economies review 27 (2016) 5, pp. 969-986

Persistent link: https://www.econbiz.de/10011717069

Oil risk and asset returns : evidence from emerging markets in the Middle East

Nikkinen, Jussi; Saleem, Kashif; Martikainen, Minna; … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 169-189

Persistent link: https://www.econbiz.de/10010465076

Measuring persistence in volatility spillovers : conference paper

Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

Persistent link: https://www.econbiz.de/10010341118