نتایج جستجو برای: volatility spillover

تعداد نتایج: 25080  

Rice plays an especial role in Iranian households' nutrition basket. The volatilities of its price during recent years caused consumers' dissatisfaction. This paper investigates spillover effects of price volatilities (at the wholesale and retail levels) in the Guilan Province rice market. The Generalized Autoregressive Conditional Hetroscedasitic (GARCH) model was used for the monthly time per...

2013
Ajay Kumar Chauhan Shikha Singh Aanchal Arora

Future contracts in commodity market with limited maturities are primarily used for hedging commodity price-fluctuation risks or for taking advantage of price movements, rather than for the buying or selling of the actual cash commodity. This paper is an effort to analyze the market efficiency of the Indian commodity market and volatility spillover effects between the spot and future market wit...

Journal: :اقتصاد و توسعه کشاورزی 0
محمد قهرمان زاده قادر دشتی زهرا رسولی بیرامی

introduction: the relationship between different market levels is an essential issue in economy. understanding of linkages between different market levels will help to assess the potential impact of agricultural policies. given the importance of the vertical market relationship, the present study examines price volatility spillover in vertical market levels of iranian livestock and poultry mark...

1999
Rajesh Chakrabarti Sebastian Edwards Avanidhar Subrahmanyam Peter Schott Alejandro Jara

In this paper we study the nature of regional inter-dependence among selected Asian stock markets and contrast it with that among selected European markets before and during the Asian crisis. We ask if the Asian crisis marked any fundamental change in the basic nature of these relationships. Using daily dollar-denominated returns data from eight East Asian and eight European stock markets, we s...

2004
George Skiadopoulos

There is a growing literature on implied volatility indices in developed markets. However, no similar research has been conducted in the context of emerging markets. In this paper, an implied volatility index (GVIX) is constructed for the fast developing Greek derivatives market. Next, the properties of GVIX are explored. In line with earlier results, GVIX can be interpreted as a gauge of the i...

Journal: :Computational Statistics & Data Analysis 2008
Giampiero M. Gallo Edoardo Otranto

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. A number of model restrictions and hypotheses can be tested to stress the role of one market relative to another (spillover, interdependence, comovement, independence, Granger...

Journal: :Journal of corporate governance, insurance and risk management 2022

Purpose: This paper aims to test the volatility models for Bitcoin (BTC) and financial stress index (FSI) examine spillover among them. aim was reached by obtaining weekly data from 7th of January 2011 24th December 2021. Methodology: First, modelling series is provided, GARCH (1,1) BTC IGARC (1,2) FSI are determined as most appropriate models. Then, residual created each variable over IGARCH s...

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