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Symmetric and asymmetric volatility spillover among BRICS countries' stock markets · Study

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ArticleSymmetric and asymmetric volatility spillover among BRICS countries' stock markets

Bashir Ahmad Joo2023

Article2023

Symmetric and asymmetric volatility spillover among BRICS countries' stock markets

Bashir Ahmad Joo · Younis Ahmed Ghulam · Simtiha Ishaq Mir

16 citations·0/0 files stored·DECISION

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1988Testing for a Unit Root in Time Series Regression 1952PORTFOLIO SELECTION*1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1987Expected stock returns and volatility

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2019Financial cointegration and spillover effect of global financial crisis: a study of emerging Asian financial marketsarticle · 12 shared references 2017Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial marketsarticle · 12 shared references 2019Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indicesarticle · 12 shared references 2018The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocksarticle · 12 shared references 2022Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemicarticle · 11 shared references 2020Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock marketsarticle · 11 shared references

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Year2023

Typearticle

Published2023-12-01

VenueDECISION

ISSN-L0304-0941

Languageen

Citations16

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s40622-023-00368-7

openalex_workW4390637611

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