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The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets
Asongu, Simplice A. - In: Journal of financial economic policy 4 (2012) 4, pp. 340-353
Persistent link: https://www.econbiz.de/10009674774
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An empirical validation of financial contagion by a multivariate VAR model
Boutabba, Islem - In: International journal of business and economics 18 (2019) 2, pp. 221-244
Persistent link: https://www.econbiz.de/10012138318
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VIX and the variance of Dow Jones industrial average stocks
Mollick, André Varella - In: Managerial finance 41 (2015) 3, pp. 226-243
Persistent link: https://www.econbiz.de/10011300369
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BREXIT : equity market contagion and transmission channels
Ayadi, Ahmed - In: Applied economics 54 (2022) 34, pp. 3933-3952
Persistent link: https://www.econbiz.de/10013410855
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Spillover effect in Asian financial markets : a VAR-structural GARCH analysis
Wang, Yu; Liu, Lei - In: China finance review international 6 (2016) 2, pp. 150-176
Persistent link: https://www.econbiz.de/10011722617
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our …
Persistent link: https://www.econbiz.de/10011663407
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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence, this paper seeks to analyze volatility spillover,...
Persistent link: https://www.econbiz.de/10013348418
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Mapping of stock exchanges : contagion from a new perspective
García Estévez, Pablo; Roji Ferrari, Salvador; Corzo … - In: Spanish journal of finance & accounting : the official … 49 (2020) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10012176488
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Determination of the sensitivity of stock index to macroeconomic and psychological factors by MARS method
Yıldız, Münevvere; Özdemir, Letife - In: Insurance and risk management for disruptions in …, (pp. 81-105). 2022
Persistent link: https://www.econbiz.de/10013191571
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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