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A joint impulse response function for vector autoregressive models

Wiesen, Thomas F. P.; Beaumont, Paul Michael - In: Empirical economics : a quarterly journal of the … 66 (2024) 4, pp. 1553-1585

Persistent link: https://www.econbiz.de/10014519875

High frequency price change spillovers in bitcoin markets

Giudici, Paolo; Pagnottoni, Paolo - In: Risks : open access journal 7 (2019) 4/111, pp. 1-18

The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange...

Persistent link: https://www.econbiz.de/10012127873

Measuring extreme risk spillovers across international stock markets : a quantile variance decomposition analysis

Su, Xianfang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012660129

The implications of non-synchronous trading in G-7 financial markets

Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - 2025

Persistent link: https://www.econbiz.de/10015337909

A wavelet perspective of crisis contagion between advanced economies and the BRIC markets

Gurdgiev, Constantin; O'Riordan, Conor - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-29

and volatility. In addition to covering the periods of the dot.com crash, the 11 September 2001 events, the pre-2007 … financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U …

Persistent link: https://www.econbiz.de/10012794261

Dynamic multiscale relationships between COVID-19 sentiment and extreme crude oil returns : evidence from wavelet coherence analysis

Liu, Xinghe; Xu, Cheng; Hong, Yun; Xu, Hao - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 11, pp. 2533-2548

Persistent link: https://www.econbiz.de/10015049746

Dynamic volatility behaviour in agricultural commodity markets : evidence from VIRF analysis and spillover index calculations

Bernhardt, Matthias - 2017

This paper provides an empirical analysis of volatility time structures in agricultural markets (sugar, wheat, soybeans … interesting for both researches and policy makers. In order to investigate the behaviour of agricultural market’s volatility after … a shock, I calculated the volatility impulse response function based on a VAR(1) BEKK(1,1)-in-mean model. The result …

Persistent link: https://www.econbiz.de/10011761775

Volatility spillovers in energy markets

Chuliá, Helena; Furió, Dolores; Uribe, Jorge - In: The energy journal 40 (2019) 3, pp. 173-197

Persistent link: https://www.econbiz.de/10012053266

Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

Persistent link: https://www.econbiz.de/10012006352

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - In: The econometrics journal 24 (2021) 3, pp. 442-461

Persistent link: https://www.econbiz.de/10012620715