Arbeitspapier
Survey of volatility and spillovers on financial markets
In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric techniques. Moreover, the implications of the results can be related to a wide set of markets as the surveyed articles cover emerging and developed European markets as well as the United States.
- Language
-
Englisch
- Bibliographic citation
-
Series: IOS Working Papers ; No. 363
- Classification
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Financial Markets and the Macroeconomy
Foreign Exchange
International Financial Markets
- Subject
-
volatility
volatility spillovers
financial markets
- Event
-
Geistige Schöpfung
- (who)
-
Kočenda, Evžen
- Event
-
Veröffentlichung
- (who)
-
Leibniz-Institut für Ost- und Südosteuropaforschung (IOS)
- (where)
-
Regensburg
- (when)
-
2017
- Handle
- URN
-
urn:nbn:de:101:1-201703141253
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kočenda, Evžen
- Leibniz-Institut für Ost- und Südosteuropaforschung (IOS)
Time of origin
- 2017
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Networks of Volatility Spillovers among Stock Markets
Measuring financial asset return and volatility spillovers, with application to global equity markets
Examining mean-volatility spillovers across national stock markets
Financial markets with volatility uncertainty
Financial markets with volatility uncertainty
Herding, Information Cascades and Volatility Spillovers in Futures Markets
Measuring financial asset return and volatility spillovers : with application to global equity markets [[Elektronische Ressource]]
Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
Volatility spillovers and contagion from mature to emerging stock markets
Return and volatility spillovers among the East Asian equity markets
Survey of volatility and spillovers on financial markets
Intraday volatility spillovers among European financial markets during COVID-19
Networks of Volatility Spillovers among Stock Markets
Measuring financial asset return and volatility spillovers, with application to global equity markets
Examining mean-volatility spillovers across national stock markets
Financial markets with volatility uncertainty
Financial markets with volatility uncertainty
Herding, Information Cascades and Volatility Spillovers in Futures Markets
Measuring financial asset return and volatility spillovers : with application to global equity markets [[Elektronische Ressource]]
Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
Volatility spillovers and contagion from mature to emerging stock markets