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Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114

Persistent link: https://www.econbiz.de/10011475912

A novel estimation of time-varying quantile correlation for financial contagion detection

Ye, Wuyi; Li, Mingge; Wu, Yuehua - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10014225731

Correlation Coefficients, Heteroskedasticity and Contagion of Financial Crises

Yoon, Gawon - 2005

A significant increase in the correlation coefficients of returns across countries during periods of high turbulence is … regarded as evidence of the contagion of financial crises. However, heteroskedasticity is known to cause correlation … coefficients to be biased upward. This note shows that correlation coefficients can be biased downward under heteroskedasticity …

Persistent link: https://www.econbiz.de/10014067691

Financial contagion and the TIR-MIDAS model

Ye, Wuyi; Jiang, Kunliang; Liu, Xiaoquan - In: Finance research letters 39 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012805210

Spillover effects between US and major European stock markets

Al-Zeaud, Hussein Ali - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 172-184

Persistent link: https://www.econbiz.de/10010403630

Structural volatility impulse response function and asymptotic inference

Liu, Xiaochun - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 316-339

Persistent link: https://www.econbiz.de/10011987769

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models

Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012516745

Determinism and non-linear behaviour of log-return and conditional volatility : empirical analysis for 26 stock markets

Dhifaoui, Zouhaier - In: South Asian journal of macroeconomics and public finance 11 (2022) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10013256597

Factor analysis of a model of stock market returns using simulation-based estimation techniques

Zhumabekova, Diana; Dungey, Mardi H. - 2001

Persistent link: https://www.econbiz.de/10001790850