The stability of the original spillover effect model agricultural product market price volatility is poor, resulting in low degree fitting between results and actual situation. In order to further clarify volatility, a research method based on Fourier analysis proposed. authors collect sample data, eliminate missing complete data storage. Wavelet transform used reduce noise reconstruct with hig...

This paper investigates the issue of co-movement and interaction among the monetary, foreign exchange and stock markets by employing the data from China’s financial markets. Based on the ICA-EGARCH-M model, we explore the volatility spillover effects so as to illustrate the overall co-movements across financial markets. Furthermore, in order to observe the multi-market dynamic relationship vari...

The aim of the study investigates return and volatility spillovers conditional correlations between Borsa Istanbul Stock Exchange 100 Index (BIST100) Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Litecoin (LTH) using daily data for period August 07, 2015 May 20, 2021 with VAR-DCC-GARCH model. We find no bidirectional BIST100 cryptocurrencies. In line spillover results study, it has been determin...

Using time-series data for 19 countries, we examine whether market connectedness (measured by returns and volatility) increased over time because of the global financial crisis COVID-19 pandemic. a vector autoregression–based spillover index, show that shock varies increases crises. <br>

This article includes a unique data set of a balanced daily (Monday, Tuesday and Wednesday) for oil and natural gas volatility and the oil rich economies' stock markets for Saudi Arabia, Qatar, Kuwait, Abu Dhabi, Dubai, Bahrain and Oman, using daily data over the period spanning Oct. 18, 2006-July 30, 2015. Additionally, we have included unique GAUSS codes for estimating the spillover asymmetri...

Abstract This article aims to examine the transmission of return and volatility spillover from banking industry other industries in Pakistan. The study uses daily stock prices 2005 2018 financial non‐financial sectors listed at Pakistan exchange. KSE‐100 index is used as a basis for selection he companies. ARMA‐GARCH mean model measure spillover. time‐varying conditional correlation asymmetric ...

The empirical evidence suggests that stock returns in the emerging technology environment exhibit high return volatility. fundamental aim of article is to investigate dynamic, time series properties correlations between daily log and magnitude volatility transmissions from technologies Spanish banking sector, market portfolio finance industry EU area. Using for performance variables an equally ...