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Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study

Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …

Persistent link: https://www.econbiz.de/10012695346

Intra-Day Realized Volatility for European and USA Stock Indices

Degiannakis, Stavros Antonios - 2019

within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide …, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized … volatilities is positive and extremely high, although for some periods it decreases dramatically. The correlation of volatilities …

Persistent link: https://www.econbiz.de/10012897936

What drives the stock market integration in the CEE-3?

Výrost, Tomáš; Baumöhl, Eduard; Lyócsa, Štefan - In: Ekonomický časopis : časopis pre ekonomickú … 61 (2013) 1, pp. 67-81

Persistent link: https://www.econbiz.de/10010372769

What drives the stock market integration in the CEE-3?

Výrost, Tomáš; Baumöhl, Eduard; Lyócsa, Štefan - 2013

In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis...

Persistent link: https://www.econbiz.de/10011638352

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

Lemand, Ryan - 2022

The episodes of stock market crises in Europe and the U.S.A. since the year 2000, and the fragility of the …

Persistent link: https://www.econbiz.de/10014236561

Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks

Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: International economics : a journal published by CEPII … 156 (2018), pp. 175-192

Persistent link: https://www.econbiz.de/10012027269

Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513

Eastern Europe (CEE) over the ten-year period following the financial crisis. The empirical results confirmed that such a … change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …

Persistent link: https://www.econbiz.de/10011874650

Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns

Roengchai Tansuchat - 2010

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil spot, forward and futures prices from the WTI and Brent markets, and the FTSE100, NYSE, Dow...

Persistent link: https://www.econbiz.de/10013149274

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai …

Persistent link: https://www.econbiz.de/10012486245

Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232

across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

Persistent link: https://www.econbiz.de/10011296721