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COVID19 outbreak impact on international stock markets colatility contagion

Sosa Castro, Magnolia Miriam; Ortiz, Edgar; … - In: Revista de métodos cuantitativos para la economía y … 35 (2023), pp. 175-200

We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of...

Persistent link: https://www.econbiz.de/10015338449

Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis

Gabriel, Vítor Manuel de Sousa - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65

and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for …

Persistent link: https://www.econbiz.de/10011306093

The hedging effectiveness of gold against US stocks in a post-financial crisis era

Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of … investors, policy makers and portfolio managers. The key findings of this study are critical in formulating optimal hedging …

Persistent link: https://www.econbiz.de/10014233046

Exchange rate co-movements, hedging and volatility spillovers in new EU forex markets

Kočenda, Evžen; Moravcová, Michala - 2017

increase but hedging costs rise as well. Based on the spillover index we document that during calm periods most of the …

Persistent link: https://www.econbiz.de/10011763803

Financial Contagion and Volatility Spillover : an exploration into Bitcoin Future and FOREX Future Markets

Tsiaras, Konstantinos - 2021

crucial implications for policymakers who provide regulations for the above derivative markets …

Persistent link: https://www.econbiz.de/10013228878

The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures market’s returns : the case of India

Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683

Persistent link: https://www.econbiz.de/10011413991

Volatility Co-Movements and Spillover Effects within the Eurozone Economies : A Multivariate GARCH Approach Using the Financial Stress Index

MacDonald, Ronald - 2017

The Eurozone crisis is one the most important economic event in recent years. At its peak, the effects of the crisis have put at serious risk the outcome of the euro project, exposing the inherent weaknesses and vulnerabilities of the monetary union. As the degree of economic and financial...

Persistent link: https://www.econbiz.de/10012972258

Volatility Transmission and Correlation Analysis between the US and Asia : The Impact of the Global Financial Crisis

Valls, Natalia - 2011

This paper examines volatility transmission and conditional correlations behaviour between the US and the Asian stock markets considering the effect of the Global Financial crisis. One Asian mature market and ten emerging markets are included in the sample. To carry out the analysis, we use a...

Persistent link: https://www.econbiz.de/10013131471

Which is Worse : Heavy Tails or Volatility Clusters?

Traut, Joshua; Schadner, Wolfgang - 2023

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former are extreme events by definition and the latter can accelerate adverse market developments. This work disentangles the two sources and examines which one does the greater damage...

Persistent link: https://www.econbiz.de/10014350927

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge...

Persistent link: https://www.econbiz.de/10011441704