Abstrac t Real estate’s role in the financial crisis has forced central banks and academics to focus on real estate risk’s spillover effects. However, findings this matter are erratic could differ from country country. Prior research mostly ignored risk contagion at level of industry instead concentrated institutions. Therefore, analyze China’s a novel perspective industrial chain, mixed model ...

At present, the largest commodity futures variety in global market is crude oil futures, which plays a role price discovery, risk hedging, and stabilizing international prices. The fluctuation of its key issue that governments, investors, scholars around world pay attention to. This paper establishes GARCH model EGARCH under three distribution states t distribution, Normal GED distribution. The...

The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model are estimated for six global fertilizer prices and the crude oil price. Weekly data f...

In this study, we proposed a new model to improve the accuracy of forecasting stock market volatility pattern. The hypothesized was validated empirically using data set collected from Saudi Arabia Exchange (Tadawul). is daily closed price index August 2011 December 2019 with 2027 observations. combines best maximum overlapping discrete wavelet transform (MODWT) function (Bl14) and exponential g...

We analyze whether the pricing of volatility risk depends on asset framework applied in tests, specified proxies, and portfolio sorts used for spanning universe. For this purpose, we compare results using a macroeconomic fundamental based model three proxies uncertainty, size/value sorted industry sector portfolios. Our reveal that marginal effect VIX factor is strong statistically significant ...

This study employs the asymmetric threshold cointegration test suggested by Enders and Siklos (2001) and creates EC-EGARCH(1, 1)M model to investigate the pass-through of money market rate to banking retail rates in Taiwan and Hong Kong. It further explores the impact of interest volatility on interest rates. Over the period of February 1988 to December 2004, we find that the interest pass-thou...

In this paper we conduct a close examination of the relationship between return shocks and conditional volatility. We do so in a framework where the impact of return shocks on conditional volatility is specified as a general function and estimated nonparametrically using implied volatility data—the Market Volatility Index (VIX). This setup can provide a good description of the impact of return ...