Add to ORKGThis paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to Octobe
We propose global and disaggregated spillover indices that allow us to assess variance and covarian...
Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2014.This study examines the volatility d...
This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlati...
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spill...
This article applies two measures to assess spillovers across markets: the Diebold and Yilmaz’s (201...
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multiva...
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multiva...
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. I...
We measure volatility spread among countries and summarize it into a volatility spillover index to p...
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. I...
We investigate stock markets volatility spillovers in selected emerging and major developed markets ...
This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs) ...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
In this study we construct volatility spillover indexes for some of the major stock market indexes i...
We propose global and disaggregated spillover indices that allow us to assess variance and covarian...
Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2014.This study examines the volatility d...
This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlati...
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spill...
This article applies two measures to assess spillovers across markets: the Diebold and Yilmaz’s (201...
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multiva...
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multiva...
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. I...
We measure volatility spread among countries and summarize it into a volatility spillover index to p...
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. I...
We investigate stock markets volatility spillovers in selected emerging and major developed markets ...
This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs) ...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
In this study we construct volatility spillover indexes for some of the major stock market indexes i...
We propose global and disaggregated spillover indices that allow us to assess variance and covarian...
Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2014.This study examines the volatility d...
This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlati...