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On the dynamic transmission of mean and volatility across the Arab stock markets

Bouri, Elie; Azzi, Georges - In: Journal of emerging market finance 13 (2014) 3, pp. 279-304

Persistent link: https://www.econbiz.de/10010492029

Detecting contagion with correlation : volatility and timing matter

Dungey, Mardi H.; Yalama, Abdullah - 2010

Persistent link: https://www.econbiz.de/10009384425

Investigating contagion and market interdependence during the global financial crisis

Iorgulescu, Filip - In: Central European business review : CEBR 4 (2015) 2, pp. 31-39

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Volatility : as a driving factor of stock market co-movement

Özbekler, Ali Gencay - 2017

Persistent link: https://www.econbiz.de/10011657925

Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK

Tamakoshi, Go; Hamori, Shigeyuki - In: Research in international business and finance 36 (2016), pp. 288-296

Persistent link: https://www.econbiz.de/10011594438

Study on the spatial spillover effects for China concept shares (CCSs)

Liu, Xiang-yun; Bin Shi; Ma, Shang-guo; Bo Qin - In: International journal of business innovation and research 7 (2013) 5, pp. 536-553

Persistent link: https://www.econbiz.de/10010212966

Detecting Contagion with Correlation: Volatility and Timing Matter

Dungey, Mardi; Yalama, Abdullah - School of Economics and Finance, Tasmanian School of … - 2010

We examine whether contagion tests are affected by controls for volatility clustering and the collection of …

Persistent link: https://www.econbiz.de/10010905852

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Dynamic connectedness and volatility spillover effects of Indian stock market with international stock markets : an empirical investigation using DCC GARCH

Sainath, A. R.; Gnanendra, M.; Mohanasundaram, T.; … - In: Scientific papers of the University of Pardubice 31 (2023) 1, pp. 1-10

, suggesting the presence of contagion effects. Additionally, we find bidirectional spillover between the Indian stock market and … the Nikkei 225 and Hang Seng, indicating a high level of interdependence between these markets. Our research contributes …

Persistent link: https://www.econbiz.de/10014442259

Volatility contagion (spillover) between Chinese and Pakistani stock markets during COVID-19 : pre and post analysis of trade-level data

Bukhari, Syed Faisal Hasan; Ahmad, Habib; Hanif, Hasan; … - In: International journal of monetary economics and finance … 15 (2022) 4, pp. 309-330

Persistent link: https://www.econbiz.de/10014314085