Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10009689316
We model the complex global dependencies in international financial markets using spatial techniques. Our methodology allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise relationships, and improves the accuracy of return...
Persistent link: https://www.econbiz.de/10013055629
Persistent link: https://www.econbiz.de/10003327873
Persistent link: https://www.econbiz.de/10009712228
Persistent link: https://www.econbiz.de/10009271840
The link between capital controls and stock market volatility is examined using frequency domain techniques. Conventional analyses of the second moments can produce spurious results if the high-frequency volatility is reduced (increased) while the overall volatility is increased (reduced)
Persistent link: https://www.econbiz.de/10013055581
This paper offers an empirical explanation behind the dynamics of the overall volatility of exchange rates and its high-frequency, most economically destabilizing components. Spectral methodology is employed to isolate the portion of volatility attributable to high-frequency components, and...
Persistent link: https://www.econbiz.de/10013055583
We use frequency-domain techniques, namely wavelets and cross-spectra, to examine the association between the daily prices of crude oil futures and daily S&P500 futures closing prices over the past several decades. We investigate contemporaneous and lag-lead relationships in levels and returns....
Persistent link: https://www.econbiz.de/10013055630
Persistent link: https://www.econbiz.de/10015180395
Persistent link: https://www.econbiz.de/10011299874