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Volatility spillover dynamics and relationship across G7 financial markets · Study

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ArticleVolatility spillover dynamics and relationship across G7 financial markets

Kim Hiang Liow2015

Article2015

Volatility spillover dynamics and relationship across G7 financial markets

78 citations·0/0 files stored·The North American Journal of Economics and Finance

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

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References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 1998Modeling Asymmetric Comovements of Asset Returns 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 2003A New Approach to Measuring Financial Contagion 1990Volatiltiy and Links Between National Stock Markets

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2017Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty 2022Realized higher-order moments spillovers between commodity and stock markets: Evidence from China 2018Financial risk network architecture of energy firms 2021Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic 2016Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States

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Details

Year2015

Typearticle

Published2015-07-01

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations78

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.najef.2015.06.003

openalex_workW871040644

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2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets

2018The dynamics of volatility connectedness in international real estate investment trusts

2022Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors