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Asymmetric linkages among the fear index and emerging market volatility indices · Study

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ArticleAsymmetric linkages among the fear index and emerging market volatility indices

Ihsan Ullah Badshah2018

Article2018

Asymmetric linkages among the fear index and emerging market volatility indices

Ihsan Ullah Badshah · Stelios D. Bekiros · Brian M. Lucey · Gazi Salah Uddin

70 citations·0/0 files stored·Emerging Markets Review

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2014Fluctuations in Uncertainty

Cited by

2019U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model 2021Investor attention and oil market volatility: Does economic policy uncertainty matter?2020Implied volatility indices – A review 2020The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices 2022

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Details

Year2018

Typearticle

Published2018-05-03

VenueEmerging Markets Review

ISSN-L1566-0141

Languageen

Citations70

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ememar.2018.03.002

openalex_workW2800446252

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