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Global equity market volatility spillovers: A broader role for the United States · Study

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ArticleGlobal equity market volatility spillovers: A broader role for the United States

Katja I. M. Gisler2016

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Articlebronze2016

Global equity market volatility spillovers: A broader role for the United States

Katja I. M. Gisler

91 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 2003Modeling and Forecasting Realized Volatility 1994Automatic Lag Selection in Covariance Matrix Estimation 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

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2021The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model 2020The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic 2016The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets 2021Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?2019When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases

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Year2016

Typearticle

Published2016-08-25

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations91

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2016.05.001

openalex_workW3123085307

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