Search results for "Volatility spillover"

showing 4 items of 4 documents

Volatility spillovers in the European bank CDS market

2015

From the 2007 subprime crisis to the recent Eurozone debt crisis,the banking industry has experienced terrible financial instabilitywith increasing volatility levels of bank default probability. UsingEuropean CDS spreads data from January 2006 to March 2013, thispaper sheds light on the impact of three recent significant events ofcredit risk volatility transmission between, firstly, Eurozone andnon-Eurozone banks, and then between distressed peripheral andcore countries inside the Eurozone. We employ an asymmetricmultivariate BEKK model to measure cross-market volatility spil-lovers. We find that both recent crises are distinct episodes. Theglobal financial crisis that originated outside Eu…

CDS spreadsVolatility spilloversFinancial marketFinancial crisisFinancial systemLocal currencyEconomiaFinancial crisisEconomicsVolatility (finance)Core countriesFinanceCredit riskDebt crisisEuropean debt crisisCredit risk
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Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region

2010

In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco and Turkey. The multivariate GARCH model we use does not produce evidence of cross-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange rates and stock returns exist at the industry sector level. These findings are more pronounced in Egypt and Turkey. The different results are due to the different exchange rate regimes/policies adopted by the three countries. While exchange rates in Egypt and Turkey were allowed to float, Morocco followed a more tightly managed…

Economics and Econometricsvolatility spilloversFinancial economicsMultivariate GarchMonetary economicsExchange-rate regimeStock market indexexchange ratesMultivariate garch modelExchange rateStock returnsIndustry sectorExchange rate volatilityEconomicsStock returns; exchange rates; volatility spillovers; Multivariate Garch_Volatility (finance)FinanceStock (geology)
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Volatility transmission patterns and terrorist attacks

2009

The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo d…

Estadística matemàticaTheorieanwendungtransmissions de volatilitatFinancial economicsEconomicsAutoregressive conditional heteroskedasticitymercados financieros internacionalesMercados financieros internacionales; Crisis financieras; GARCH multivariante; Transmisión de volatilidad. International financial markets; Stock market crisis; Multivariate GARCH; Volatility spillovers.theory applicationMultivariate garch modelOrder (exchange)Volatility swapFinances internacionalsEconomicsEconometricsddc:330multivariate GARCHcrisis del mercado de valorescrisi del mercat de valorsRisk managementInternational financeStock (geology)Economic Statistics Econometrics Business InformaticsMercat Investigacióvolatility spilloversmercats financers internacionalsbusiness.industryinternational financial marketsFinancial marketWirtschaftstock market crisisjel:C32jel:F30Political EconomyMathematical statisticsjel:G15Estadística matemáticaVolatility Modelling Multivariate Volatility GARCH models International Finance International Asset Pricing Risk ManagementVolkswirtschaftslehreTerrorismWirtschaftsstatistik Ökonometrie WirtschaftsinformatikGraphical analysisVolatility (finance)businessVolatility transmissionGeneral Economics Econometrics and FinanceFinancederrames de volatilidad
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Asymmetric semi-volatility spillover effects in EMU stock markets

2018

Abstract The aim of this paper is to quantify the strength and the direction of semi-volatility spillovers between five EMU stock markets over the 2000–2016 period. We use upside and downside semi-volatilities as proxies for downside risk and upside opportunities. In this way, we aim to complement the literature, which has focused mainly on the contemporaneous correlation between positive and negative returns, with the evidence of asymmetry also in semi-volatility transmission. For this purpose, we apply the Diebold and Yilmaz (2012) methodology, based on a generalized forecast error variance decomposition, to downside and upside realized semi-volatility series. While the analysis of Diebol…

Normalization (statistics)Multivariate statisticsEconomics and Econometrics050208 financeForecast error variance decomposition05 social sciencessemi-volatility asymmetry forecast error variance decompositionVolatility spilloverDownside riskSemi-volatilitySettore SECS-P/05 - EconometriaAsymmetryFull sampleSpilloverSpillover effect0502 economics and businessVHAREconometricsVariance decomposition of forecast errorsEconomicsSemi-volatility Asymmetry Forecast error variance decomposition Spillover VHAR050207 economicsStock (geology)FinanceInternational Review of Financial Analysis
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