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Faheem Aslam, Paulo Ferreira, Khurrum Shahzad Mughal and Beenish Bashir
During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The d...
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Mohamed Beraich, Karim Amzile, Jaouad Laamire, Omar Zirari and Mohamed Amine Fadali
The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia?Ukraine conflict. The subject of this paper is the study of the influence of the recent war between Russia and Ukra...
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Waqar Badshah
Pág. 046 - 059
This study is conducted to check volatility spillovers from US to Emerging seven stock markets before and after the Global Financial Crisis through the VAR-GARCH model. The pre GFC sub sample data ranges from January 8, 2002 to June 29, 2007 and Post GFC...
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Waqar Badshah
Pág. 046 - 059
This study is conducted to check volatility spillovers from US to Emerging seven stock markets before and after the Global Financial Crisis through the VAR-GARCH model. The pre GFC sub sample data ranges from January 8, 2002 to June 29, 2007 and Post GFC...
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Nidhi Malhotra,Saumya Gupta
Pág. 208 - 215
Although, the growth in the cryptocurrency market slowed down after the meteoric rise in late 2017, the market is still enjoying steady capital inflow. This has made the study of market dynamics between the cryptocurrencies and equity market indispensabl...
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Zouheir Mighri,Majid Ibrahim Alsaggaf
Pág. 81 - 90
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Wing Hong Chan, Bryce Shelton and Yan Wendy Wu
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Wendy Sidon Meira de Oliveira,André Nunes Maranhão
Pág. 569 - 603
We present in this study the results of volatility spillover in the Brazilian stock market, measured by conditional correlations. Using GARCH multivariate conditional correlations were estimated at 3 different models combining the Ibovespa index of the t...
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Hassan Mohammadi and Yuting Tan
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Gaye Gencer,Zafer Musoglu
Pág. 705 - 713
This paper examines the volatility transmission mechanisms bivariately, between gold prices and alternatively, Turkish stock market and government bond indices. We employ the BEKK-GARCH model for evaluating the volatility linkages, as a robust technique....
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Afees A. Salisu, Kazeem O. Isah, Alberto Assandri
Pág. 255 - 283
This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VAR...
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Inzamam UI Haq, Hira Nadeem, Apichit Maneengam, Saowanee Samantreeporn, Nhan Huynh, Thasporn Kettanom and Worakamol Wisetsri
The high volatility and energy usage of rare earths have raised sustainable and financial concerns for environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare earths elements,...
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Nassar S. Al-Nassar and Beljid Makram
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Ret...
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Arfaoui Mongi,Haj Ali Dhouha
Pág. 252 - 270
The present paper studies stock-commodity markets linkage using var-garch approach for the period spanning from January 3, 2000 to March 12, 2014. The analysis has been performed through three competing specifications; the var-ccc-garch, the var-bekk-gar...
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Nassar S. Al-Nassar
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end,...
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Hira Aftab and A. B. M. Rabiul Alam Beg
The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model al...
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Arif Orçun Söylemez
Pág. 18 - 25
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Massimo Peri, Daniela Vandone and Lucia Baldi
Water, energy, and food and are strongly interconnected, and the sustainability of the whole world depends on this link. The aim of this article is to analyze the volatility spillovers between indexes representing the financial component of this nexus. W...
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Said Zamin Shah,Ahmad Zubaidi Baharumshah,Muzafar Shah Habibullah,Law Siong Hook
Pág. 377 - 386
This study examines an empirical analysis of the causal links and volatility spillovers between inflation, output growth and their uncertainties in Bangladesh by utilizing the AR(p)-EGARCH model for the period 1993-2014. The study shows that EGARCH versi...
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Carmelo Salleo, Alberto Grassi and Constantinos Kyriakopoulos
We propose a comprehensive approach for the analysis of real economy and government sector risk transmission to the banking system and apply it in ten Euro-Area countries from 2005 to 2017. A flexible methodology is developed to model banks? assets accor...
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