Similar Search Results

Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries

Al-Hajieh, Heitham - In: Cogent economics & finance 11 (2023) 1, pp. 1-38

Kong and Singapore have a clear direction of a return to other stock markets, whereas China has a clear net recipient. The …

Persistent link: https://www.econbiz.de/10014500629

Essays on econometric analysis of price and volatility behavior in asset markets

Zhu, Jie - 2008

Persistent link: https://www.econbiz.de/10003738564

Evolvement of uniformity and volatility in the stressed global financial village

Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; … - 2011

relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … interdependencies between these markets and the developing "eastern'' markets (India and China) are very volatile and with noticeable …

Persistent link: https://www.econbiz.de/10009354737

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

Better to Give than to Receive : Predictive Directional Measurement of Volatility Spillovers

Diebold, Francis X. - 2010

Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across U.S. stock, bond,...

Persistent link: https://www.econbiz.de/10013149049