Volatility-Spillover Effects in European Bond Markets

Empirical Analysis of Volatility Spillover Effects in International Financial Markets

Volatility spillover effect in international financial markets is one of the principal issues that widely attract academic and industrial scholars’ attention. Through constructing a binary GARCH-BEKK model, this study empirically tests the volatility effects among stock market, gold market, WTI crude oil futures market and spot market, and concludes that there is bidirectional volatility spillo...

Multivariate Volatility and Spillover Effects in Financial Markets

The relationship between volatility and risk has been one of the main factors underlying the interest in volatility modelling. An important question for international diversification is whether shocks in one market influence, or have spillovers into, returns and volatility in other markets. This paper tests for the existence of volatility spillovers among the S&P 500, FTSE 100 and Nikkei 225 st...

Of Volatility Spillovers In European Government Bond Markets

In this paper we engineer an information mapping of transmission linkages across various European government bond markets. The research introduces a calibration methodology for the application of an optimizing radial basis function (RBF) artificial neural network (ANN). Utilizing a closed-form derivation of the regularization parameter, the Kajiji-4 RBF ANN is known to efficiently minimize the ...

Spillover in Euro Area Sovereign Bond Markets *

This paper applies the Diebold and Yilmaz (2009, 2012) spillover methodology to euro area sovereign bond markets. Our analysis identifies different phases of interaction in those markets in recent years. We find a substantial increase in spillover between euro area sovereign bond markets coinciding with the bailout of Bear Stearns in March 2008. The phase of the euro area crisis from the first ...

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets