Exposing Volatility Spillovers

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Exposing Volatility Spillovers

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Author : Dionisis Philippas
language : en
Publisher:
Release Date : 2019

Exposing Volatility Spillovers written by Dionisis Philippas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

We present a comparative analysis of two empirical methods grounded on a common vector autoregressive framework. In this setting, we investigate the time-varying nature and direction of volatility spillovers between some major stock indexes spanning across Europe, China and US. We find evidence that drawing on partial Granger causality brings more robust results than relying on the information provided by generalized impulse responses, especially when there is uncertainty about what other relevant factors need to be modelled.

Volatility Spillovers And The Price Of Risk

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Author : Christian Jochum
language : en
Publisher:
Release Date : 1999

Volatility Spillovers And The Price Of Risk written by Christian Jochum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.

This paper investigates the behavior of the risk premium on the Swiss stock market. The risk premium consists of two components, which are estimated separately: the amount of volatility and the unit price of risk. By estimating a bivariate GARCH-M model the volatility of the Swiss market is found to be strongly exposed to spillovers from the other major financial markets. To estimate the unit price of risk a Kalman filter procedure is employed, which allows for variability in this variable. Investors place a high price on risk, when the market is considered expensive.

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets

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Author : John Beirne
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2008-12-01

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets written by John Beirne and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-01 with categories.

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets

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Author : John Beirne
language : en
Publisher:
Release Date : 2009

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets written by John Beirne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Stock exchanges categories.

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.

Volatility Spillovers In International Equity Markets

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Author : E. Bryan Acree
language : en
Publisher:
Release Date : 1996

Volatility Spillovers In International Equity Markets written by E. Bryan Acree and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Stocks categories.

Volatility Spillover Across Major Equity Markets

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Author : Pardeep Singh
language : en
Publisher:
Release Date : 2015

Volatility Spillover Across Major Equity Markets written by Pardeep Singh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper presents an elaborate survey and analysis of the literature on the subject. Review of extant studies on various basis such as markets studied, methodology employed, among others has important implications for various stakeholders. We report that there has been wide variation in results because different studies have examined different markets using wide range of financial econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any volatility spillovers between various sectors of an economy, between different financial markets of the same economy, amongst same sectors of different markets, probe whether size effect is relevant, identify the transmission channels of volatility spillover, enumerate reasons behind volatility spillover, examine asymmetric volatility responses among stock markets and can use more advanced econometric techniques.

Hourly Volatility Spillovers Between International Equity Markets

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Author : Raul Susmel
language : en
Publisher:
Release Date : 1992

Hourly Volatility Spillovers Between International Equity Markets written by Raul Susmel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.

Volatility Spillovers In The U S Treasury Market

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Author : Jose A. Lopez
language : en
Publisher:
Release Date : 2000

Volatility Spillovers In The U S Treasury Market written by Jose A. Lopez and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

Valuing Volatility Spillovers

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Author : George Milunovich
language : en
Publisher:
Release Date : 2005

Valuing Volatility Spillovers written by George Milunovich and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Forecasting categories.

We measure the reduction in realized portfolio risk that can be achieved by allowing for volatility spillover in forecasts of equity covariance. The conditional second moment matrix of equity returns for pairs of major European equity markets is estimated via two asymmetric dynamic conditional correlation models (A-DCC): the unrestricted model includes volatility spillover effects and the restricted model does not. Data are daily returns on the London, Frankfurt and Paris equity market price indices synchronized at London 16:00 time. Covariance forecasts from the restricted and unrestricted models are combined with assumed expected returns to compute efficient three-asset portfolios (two equity indices and the risk-free asset). The impact of expected return choice on out-of-sample portfolio efficiency is minimized via the polar co-ordinates method of Engel and Colacito (2004), which allows expected equity returns to span all relatives. Out-of-sample realized portfolio returns and variances from efficient portfolios are computed and tested. Allowing for volatility spillover effects produces small, statistically significant.

Modeling Volatility Spillover Effects Between Developed Stock Markets And Asian Emerging Stock Markets

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Author : Yanan Li
language : en
Publisher:
Release Date : 2013

Modeling Volatility Spillover Effects Between Developed Stock Markets And Asian Emerging Stock Markets written by Yanan Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.