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The size of good and bad volatility shocks does matter for spillovers · Study

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ArticleThe size of good and bad volatility shocks does matter for spillovers

Elie I. Bouri2022

Article2022

The size of good and bad volatility shocks does matter for spillovers

Elie I. Bouri · Etienne G. Harb

45 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Financial Risk and Volatility Modeling Market Dynamics and Volatility COVID-19 Pandemic Impacts

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References

2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1998Investor Psychology and Security Market Under‐ and Overreactions 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 1993Measuring and Testing the Impact of News on Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2002International Asset Allocation With Regime Shifts 2000Asymmetric Volatility and Risk in Equity Markets 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility

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Year2022

Typearticle

Published2022-08-05

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations45

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.intfin.2022.101626

openalex_workW4289930813

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