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Regime specific spillovers across US sectors and the role of oil price volatility

Hernandez, Jose Arreola; Shahzad, Syed Jawad Hussain; … - In: Energy economics 107 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013202566

Regime specific spillover across cryptocurrencies and the role of COVID-19

Shahzad, Syed Jawad Hussain; Bouri, Elie; Kang, Sang Hoon; … - In: Financial innovation : FIN 7 (2021), pp. 1-24

The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous...

Persistent link: https://www.econbiz.de/10012418495

Impact of food price volatility on the US restaurant sector

Uddin, Mohammed Gazi Salah; Hernandez, Jose Arreola; … - In: Applied economics 52 (2020) 39, pp. 4250-4262

Persistent link: https://www.econbiz.de/10012259027

Sudden changes and persistence in volatility of Korean equity sector returns

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 26 (2010) 2, pp. 431-451

Persistent link: https://www.econbiz.de/10009152033

Revisited return and volatility spillover effect in Korea

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 14 (2013) 1, pp. 121-145

Persistent link: https://www.econbiz.de/10010227761

Sudden changes in variance and volatility persistence in Asian foreign exchange markets

Kang, Sang Hoon; Yoon, Seong-min - In: The journal of the Korean economy 11 (2010) 1, pp. 129-143

Persistent link: https://www.econbiz.de/10009778114

Modeling and forecasting the volatility of petroleum futures prices

Kang, Sang Hoon; Yoon, Seong-min - In: Energy economics 36 (2013), pp. 354-362

Persistent link: https://www.econbiz.de/10009724686

Intraday price and volatility spillovers between Japanese and Korean stock markets

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 15 (2014) 2, pp. 185-207

Persistent link: https://www.econbiz.de/10010414245

The global financial crisis and the integration of emerging stock markets in Asia

Kang, Sang Hoon; Yoon, Seong-min - In: Dae oe gyeong je yeon gu 15 (2011) 4, pp. 49-73

Persistent link: https://www.econbiz.de/10009426743

Forecasting volatility of crude oil markets

Kang, Sang Hoon; Kang, Sang-mok; Yoon, Seong-min - In: Energy economics 31 (2009) 1, pp. 119-125

Persistent link: https://www.econbiz.de/10003803810