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Academic literature on the topic 'Volatility linkages'

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Published: 10 December 2022
Last updated: 28 January 2023

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Journal articles on the topic "Volatility linkages"

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Olabisi, Michael. "Input–Output Linkages and Sectoral Volatility." Economica 87, no. 347 (November 29, 2019): 713–46. http://dx.doi.org/10.1111/ecca.12327.

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Ding, Ashley. "Information and volatility linkages across energy and financial markets." Australian Journal of Management 44, no. 4 (July 26, 2019): 594–613. http://dx.doi.org/10.1177/0312896219862320.

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This study examines information and volatility linkages across energy and financial markets. In a world economy so connected, the impacts of climate change are likely to be transmitted through interlinked global markets. Hence, uncovering and understanding the interaction across these markets is a fundamental concern during the energy transition as it helps to understand how to strengthen incentives to facilitate energy investments. Based on the relation between information flows and volatility, this study employs a simple correlation approach based on implied volatility measures and the trading model of Fleming et al. to measure the common information linkages, as gauged by the correlation of return volatilities. The results suggest that volatility linkages across these markets are strong due to common information sharing and cross-market hedging. JEL Classification: G12, G14
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Liow, Kim Hiang, and Felix Schindler. "Linkages between office markets in Europe: a volatility spillover perspective." Journal of Property Investment & Finance 35, no. 1 (February 6, 2017): 3–25. http://dx.doi.org/10.1108/jpif-02-2016-0010.

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Purpose Using a data set comprising 16 European office markets provided by the DTZ Research Institute from Q1 2003 to Q4 2013, the purpose of this paper is to measure the strength of the unconditional transmission of volatility in the returns to direct property between 16 European office markets with the objective of determining the degree of unconditional spillover between markets. Design/methodology/approach To examine volatility spillovers across the 16 office markets, the authors adopted the generalized VAR methodology, variance decomposition and the generalized spillover index of Diebold and Yilmaz (2012) by measuring cross-office market volatility transmission in asset pricing through estimates of several “volatility spillover indices.” Findings Volatility spillovers are important and time-varying across the leading office markets, with cross-market volatility interaction being bi-directional and of relative endogenous nature for many markets. The London office market is the “volatility leader” and has exerted significant net volatility influence on the other markets. Additionally, the volatility spillovers between business cycle fluctuations and asset market cycle volatilities are linked across some European economies. Research limitations/implications Evidence of co-integration among the domestic volatility spillover cycles implies the presence of unobserved common shocks and might not be good news for international investors who pursue diversification strategies in European office real estate markets. Originality/value No previous study has addressed formally the measurement and assessment of the nature and intensity of volatility spillovers across direct office markets on such a broad range of European office markets. The relevance of the topic has been even increasing over the previous years as more and more investors seek for flexibility and participation in the investment process and asset management.
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Nikkinen, Jussi, Petri Sahlström, and Sami Vähämaa. "Implied volatility linkages among major European currencies." Journal of International Financial Markets, Institutions and Money 16, no. 2 (April 2006): 87–103. http://dx.doi.org/10.1016/j.intfin.2004.12.007.

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ZHU, HONGQUAN, ZUDI LU, SHOUYANG WANG, and ABDOL S. SOOFI. "CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS." International Journal of Theoretical and Applied Finance 07, no. 02 (March 2004): 135–49. http://dx.doi.org/10.1142/s0219024904002414.

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In this paper, we test for causal relationship between China's stock markets by using returns and a measure of volatility for the Shanghai Composite index, the Shenzhen Composite Subindex, and the Hong Kong Hang Seng Index. We also show that the stock index series are nonstationary and that cointegrating vectors and error correction models do not exist for the series. Based on these tests, for the return series, we conclude that Shenzhen Granger caused Shanghai before 1994. For the volatility data, we find that there exists a positive feedback relationship between Shanghai and Shenzhen stock markets, and that Hong Kong volatility Granger causes Shanghai volatility, but not vice versa.
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Äijö, Janne. "Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices." Global Finance Journal 18, no. 3 (January 2008): 290–302. http://dx.doi.org/10.1016/j.gfj.2006.11.003.

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Sholihah, Fathimah, and Nunung Kusnadi. "Dampak Pengembangan Biofuels terhadap Volatilitas Harga Beberapa Komoditas Pangan di Pasar Dunia." Jurnal Agro Ekonomi 37, no. 2 (April 20, 2020): 157. http://dx.doi.org/10.21082/jae.v37n2.2019.157-170.

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<strong>English</strong><br />Agricultural product based biofuels are the connecting points of the linkages between the global agricultural commodity, energy, and financial markets. Since the global energy markets and financial markets are volatile in nature, rapid expansion of biofuels industry results in increasing volatility of agricultural commodity prices, particularly food prices. The aims of this research is to review price volatility of some food commodities (wheat, corn and soybean) in in the world markets and to analyze the impact of global biofuels development on the price volatility. The price volatility is analyzed using the ARIMA and ARCH GARCH methods. The results show that prices of food commodities have been more volatile since the United States of America imposed the Renewable Fuel Standard Mandate-2 policy in 2007. The Corn and soybean price volatilities are higher than rice and wheat. The stronger are their linkages with biofuels development, the higher are their price volatilities. Increasing food price volatility and level should be considered as challenges and opportunities for accelerating food production growth through technological innovation and land expansion toward the achievement food self-sufficiency such that the national food security system is resilient against global market disturbances.<br /><br /><br /><strong>Indonesian</strong><br />Biofuels berbahan baku hasil pertanian menjadi komoditas penghubung antara pasar komoditas pertanian dengan pasar energi, dan selanjutnya dengan pasar finansial dunia. Oleh karena pasar energi dan pasar finansial dunia rentan gejolak maka pengembangan biofuel secara besar-besaran berdampak pada peningkatan volatilitas harga komoditas pertanian, utamanya komoditas pangan pokok. Penelitian bertujuan untuk meninjau volatilitas harga jagung, gandum, beras dan kedelai di pasar dunia serta untuk menganalisis dampak pengembangan biofuels terhadap volatilitas harga tersebut. Analisis volatilitas harga dilakukan dengan metode ARIMA dan ARCH GARCH. Penelitian menunjukkan bahwa harga komoditas pangan lebih volatil setelah Amerika Serikat menerapkan kebijakan Renewable Fuels Standard Mandate-2 tahun 2007. Volatilitas harga jagung dan kedelai lebih tinggi daripada beras dan gandum. Semakin besar keterkaitan komoditas dengan pengembangan biofuels maka semakin besar pula volatilitas harga komoditas tersebut. Peningkatan volatilitas dan level harga tersebut dapat dipandang sebagai tantangan dan peluang untuk memacu peningkatan produksi pangan melalui pengembangan teknologi dan ekstensifikasi lahan pertanian guna meningkatkan kemandirian pangan sehingga sistem ketahanan pangan nasional lebih tahan menghadapi gejolak pasar global.
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Iqbal, Muhammad Junaid, Afsheen Abrar ., Nagina Jamil ., Abid Ali Shah ., and AhsanulHaqSatti . "Volatility Linkages between Equity Markets of Pakistan, India, Singapore and Hong Kong: A GARCH BEKK Approach." Journal of Economics and Behavioral Studies 4, no. 1 (January 15, 2012): 47–54. http://dx.doi.org/10.22610/jebs.v4i1.301.

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The purpose of current study is to explore the volatility linkages between four Asian equity markets, which arePakistan (Karachi Stock Exchange), India (Bombay Stock Exchange), Hong Kong (Hang Sang Index) and Singapore (Strait Time Index). We estimate Multivariate GARCH BEKK model using weekly returns from January 2000 to August 2011.Direct evidences of linkages are found among all markets with respect to conditional mean returns and volatility.Own volatility spillover is found greater than cross volatility spillover in all emerging and developed economies.The insinuation of this study is that overseas investors may take advantage from the decrease of uncertainty by accumulating the stocks in the emerging markets to their investment portfolio.
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Sharma, Gagan, Parthajit Kayal, and Piyush Pandey. "Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices." Journal of Emerging Market Finance 18, no. 3 (August 21, 2019): 263–89. http://dx.doi.org/10.1177/0972652719846315.

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In this article, we examine the information linkages of the forward-looking measure of volatility, the volatility index (VIX), for underlying equity market indices of BRICS countries—Brazil, Russia, India, China and South Africa. A study of the information transmission process confirmed a long-run equilibrium relationship between pairs of BRICS countries. The multivariate generalised autoregressive conditional heteroscedasticity (MGARCH) model revealed strong intertemporal linkages between sample VIX. Return and volatility spill-over matrix show the varying degree of connectedness of BRICS VIX across the study period. This study contributes to the international finance literature and has important implications for investors, portfolio managers, policymakers and academia. JEL Classification: C58, F36, G11, G14, G15
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Ahmed, Abdullahi D., and Rui Huo. "China–Africa financial markets linkages: Volatility and interdependence." Journal of Policy Modeling 40, no. 6 (November 2018): 1140–64. http://dx.doi.org/10.1016/j.jpolmod.2018.05.002.

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Dissertations / Theses on the topic "Volatility linkages"

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Zilberman, Roy. "Essays on banking regulation, macroeconomic dynamics and financial volatility." Thesis, University of Manchester, 2013. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-banking-regulation-macroeconomic-dynamics-and-financial-volatility(723b6684-147b-43ac-a618-a4dfab94e00f).html.

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The recent global financial crisis of 2007-2009 and the subsequent recession have prompted renewed interest into how banking regulation and fluctuations in the financial sector impact the business cycle. Using three different model setups, this thesis promotes a further understanding and identification of the various transmission channels through which regulatory changes and volatility in the financial system link to the real economy. Chapter 1 examines the effects of bank capital requirements in a simple macroeconomic model with credit market frictions. A bank capital channel is introduced through a monitoring incentive effect of bank capital buffers on the repayment probability, which affects the loan rate behaviour via the risk premium. We also identify a collateral channel, which mitigates moral hazard behaviour by firms, and therefore raises their repayment probability. Basel I and Basel II regulatory regimes are then defined, with a distinction made between the Standardized and Foundation Internal Ratings Based (IRB) approaches of Basel II. We analyse the role of the bank capital and collateral channels in the transmission of supply shocks, and show that depending on the strength of these channels, the loan rate can either amplify or mitigate the effects of productivity shocks. Finally, the impact of the two channels also determines which of the regulatory regimes is most procyclical. Chapter 2 studies the interactions between bank capital regulation and the real business cycle in a Dynamic Stochastic General Equilibrium (DSGE) framework with financial frictions, along with endogenous risk of default at the firm and bank capital levels. We show that in a model which accounts for bank capital risk and regulatory requirements, the endogenous risk of default produces an accelerator effect and impacts the loan rate and the real economy through multiple channels. Furthermore, the simulations illustrate that a risk sensitive regulatory regime (Basel II) amplifies the response of macroeconomic and financial variables following supply, monetary and financial shocks, with the strength of the key transmission channels depending on the nature of the shock. The impact of higher regulatory requirements (as proposed under Basel III) is also examined and is shown to increase procyclicality in the financial system and real economy. Chapter 3 studies the interactions between loan loss provisions and business cycle fluctuations in a Dynamic Stochastic General Equilibrium (DSGE) model with credit market imperfections. With a backward-looking provisioning system, provisions are triggered by past due payments (or nonperforming loans), which, in turn, depend on current economic conditions and the loan loss reserves-loan ratio. With a forward-looking system, both past due payments and expected losses over the whole business cycle are accounted for, and provisions are smoothed over the cycle. Numerical experiments based on a parameterized version of the model show that holding more provisions can reduce the procyclicality of the financial system. However, a forward-looking provisioning regime can increase or lower procyclicality, depending on whether holding more loan loss reserves translates into a higher or lower fraction of nonperforming loans.
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Al, Mughairi Habiba. "Essays on modelling the volatility dynamics and linkages of emerging and frontier stock markets." Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/13537.

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This thesis consists of three essays and empirically studies the behaviour of emerging and frontier stock markets against instability in the commodity and international financial markets. The first essay considers symmetric and asymmetric dynamic conditional correlation multivariate GARCH models to examine the correlations between the Gulf Cooperation Council (GCC) stock markets and the Brent and OPEC crude oil price indices and to gauge the oil shocks effect on the dynamics of the GCC stock markets. The analysis uses weekly data covering the period December 31st, 2003 to December 27th, 2012. The results show that: (i) two of the GCC stock markets are asymmetrically correlated with both the Brent and OPEC crude oil price indices and only two are symmetrically correlated with Brent oil; (ii) all the GCC stock markets exhibit positive and symmetric conditional correlations overtime and these correlations are more pronounced during periods of high oil price fluctuations. The second essay investigates the contagion effect and volatility spillovers from the U.S. financial, the Dubai and the European debt crises to the GCC stock markets, with particular focus on financial and non-financial sectors. It uses weekly data for the period December 31st, 2003 to January 28th, 2015 and applies GARCH models and indicators of crisis. The empirical results show that: i) contagion effects are present on some of the GCC stock markets and are more pronounced during the U.S. financial and Dubai debt crises, with a larger impact on financial sectors; ii) there is significant evidence of volatility spillovers from the financial sectors of the U.S., European and Dubai stock markets to some of the GCC sectors considered, even though spillovers are rather weak in magnitude. The last essay investigates the extent to which the GCC stock markets are correlated and integrated with those of the Asian countries. The analysis is carried out using the Johansen cointegration approach, the dynamic conditional correlation (DCC) GARCH model, and a standard correlation analysis based on a rolling window estimation scheme. The sample period of the analysis spans from December 31st, 2003 to September 30th, 2015. The empirical analysis offers three main results. First, there is a relatively moderate evidence of cointegration among some of the GCC and Asian stock markets particularly with of those of strong economic linkages among them. Second, evidence of time-varying correlation is found in some cases, while not large in magnitude, and shocks to volatility are highly persistence. Third, stock returns show a common trend exists, only during the global financial crisis.
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Chinzara, Zivanemoyo. "An empirical analysis of the long-run comovement, dynamic returns linkages and volatility transmission between the world major and the South African stock markets." Thesis, Rhodes University, 2008. http://hdl.handle.net/10962/d1002704.

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The international linkages of stock markets have important implications for cost of capital and portfolio diversification. Recent trends in globalization, financial liberalization and financial innovation raises questions with regard to whether African stock markets are being integrated into world equity markets. This study examines the extent to which the South African (SA) equity market is integrated into the world equity markets using daily data for the period 1995-2007. The study is divided into three main parts, each looking at the different ways in which integration can be considered. The first investigates whether there is long run comovement between the SA and the major global equity markets. Both bivariate and multivariate Johansen (1988) and Johansen and Juselius (1990) cointegration approaches were utilised. Vector Error Correction Models (VECMs) are then estimated for portfolios which show evidence of cointegration. The second part analyses returns linkages using the Vector Autoregressive (VAR), block exogeneity, impulse response and variance decomposition. The third part examines the behaviour of volatility and volatility linkages among the stock markets. Firstly volatility is analysed using the GARCH, EGARCH and GJR GARCH. Simultaneously, the hypothesis that investors receive a premium for investing in more risky stock markets is explored using the GARCH-in mean. The long term trend of volatility is also examined. Volatility linkages are then analysed using the VAR, block exogeneity, impulse response and variance decomposition. The first part established that no bivariate cointegration exists between the SA and any of the stock markets being studied, implying that pairwise portfolio diversification is potentially worthwhile for SA portfolio managers. However, multivariate cointegration exists for some portfolios, with the US, UK, Germany and SA showing evidence of error correction for some of these portfolios. Findings on return linkages is that there are significant returns linkages among the markets, with the US and SA being the most exogenous and most endogenous respectively. Findings regarding volatility are that the volatility in all the markets is inherently asymmetric and that except for the US there is no risk premium in any of the markets. The long term trend of volatility in all the stock markets was found to be relatively stable. The final finding was that significant volatility linkages exist among the markets, with the US being the most exogenous and SA and China showing evidence of bidirectional linkages. Overall, except for volatility linkages, the integration of SA into the global equity markets is still quite low. Thus, both SA and international investors can capitalise on this portfolio diversification potential. On the other hand, policy makers should capitalise on this and make policies that will attract the much needed foreign investors.
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Silva, Rodolfo Margato da. "Relações no mercado internacional de soja em grão: Preços, volatilidades e fluxo de informações." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-25032013-151438/.

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Este trabalho examina relações de preço e volatilidades entre os contratos futuros de soja em grão negociados nos Estados Unidos, China, Brasil e Argentina ao longo do período delimitado entre 2002 e 2011. Os principais resultados mostram que os preços norteamericanos ainda possuem um papel dominante para explicar as variações de preço nos mercados internacionais. Outros resultados também indicam conexões mais fortes entre os preços na bolsa chinesa de Dalian e nos demais mercados, especialmente após 2006. Esta constatação sugere que o mercado chinês se tornou mais integrado ao mercado global de soja em grão em anos recentes, o que reflete a crescente participação da China no comércio internacional da commodity e o desenvolvimento de seu contrato futuro. Em termos de transmissão de volatilidade, o contrato futuro norte-americano teve papel de referência ao promover o contágio para os mercados futuros de Brasil e Argentina em praticamente todos os intervalos de tempo definidos na pesquisa; além disso, movimentos de volatility spillover do mercado dos Estados Unidos para a bolsa chinesa de Dalian ocorreram somente entre 2009 e 2011, ratificando a maior conexão do mercado asiático nos últimos anos. Ainda, Brasil e Argentina mostraram fortes relações com o mercado chinês, fruto do estreitamento comercial, e ao mesmo tempo foram nitidamente impactados pela estrutura de preços e por choques ocorridos na bolsa norte-americana. A despeito da caracterização do contrato futuro dos Estados Unidos como líder na precificação da soja em âmbito mundial, o presente trabalho expõe a grande parcela de importância da bolsa chinesa na definição do preço eficiente de longo prazo da soja em grão, e confirma Brasil e Argentina como seguidores no sistema internacional de ajuste de preços. Através da comparação entre modelos com diferenças acerca da utilização de preços de fechamento ou de abertura da China, o conjunto com cotações de fechamento apresentou maior número de relações de preço e processos de transmissão de volatilidade significativos. A grande contribuição deste estudo corresponde ao resultado sintético de que os principais players do mercado internacional de soja em grão são bastante conectados através de movimentos de preços, volatilidades e fluxos de informação, e que as conexões entre eles se tornaram mais fortes com o passar dos últimos anos. Em termos de aplicação prática, o estudo apontou que os agentes do mercado internacional de soja em grão que acompanharem os movimentos do contrato futuro da China diariamente tendem a realizar transações mais eficientes e lucrativas.
This thesis examines price and volatility linkages between soybean futures contracts traded in United States, China, Brazil and Argentina for the period ranging from 2002 to 2011. The main findings show that U.S. prices still appear to have a dominant role to explain price changes in international markets. Results also indicate stronger linkages between prices in China and in other three markets, especially after 2006. This result suggests the Chinese market has become more integrated with soybean international markets in recent years, which might reflect the growing participation of China in international trade and the development of its soybean futures contract. Regarding volatility spillover, U.S. futures contract had reference position by promoting price contagion to the futures markets in Brazil and Argentina in almost all time intervals defined; moreover, volatility spillovers from U.S. market to Dalian futures market have been observed only from 2009 to 2011, confirming a stronger linkage between U.S. and Chinese markets in the last years. Besides, Brazil and Argentina have shown strong linkages with Chinese market, due to the trade relationship, and at the same time these countries have been impacted sharply by price structure and shocks from U.S. market. Despite the role of U.S. futures contract as a global leader in the soybean pricing process, this study presents the great importance of Chinese market to define the soybean efficient price in the long run, and it confirms Brazil and Argentina as followers in the international system of price adjustment. By comparing models with differences on the use of closing prices or opening prices from Chinese futures market, the set of closing prices presented the largest number of significant price linkages and volatility spillovers. According to the main contribution of this study, the major players in the soybean international market are highly linked through price movements, volatilities and information flow. Results also indicate that linkages between the soybean futures markets have become stronger over the last years. Regarding the practical application, the study pointed that the players of the soybean international market have to observe the movements in the Chinese futures contract daily to perform more efficient and profitable transactions.
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Joya, Mohammad Omar. "Trois essais sur la volatilité macroéconomique, la diversification productive, et les liaisons intersectorielles." Thesis, Bordeaux, 2017. http://www.theses.fr/2017BORD0722/document.

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Dans une série d'essais empiriques, cette thèse analyse les effets de la diversification productive sur la volatilité et la productivité dans les pays riches en ressources naturelles. Dans le premier chapitre, je montre que bien que les ressources naturelles affectent négativement la croissance économique en augmentant la volatilité, les pays riches en ressources peuvent compenser les effets déclencheurs de la volatilité des ressources en diversifiant leurs économies. Les pays dont la structure de production est initialement plus diversifiée, ou qui parviennent à se diversifier au cours de leur développement économique, sont susceptibles de bénéficier de leur dotation en ressources. Dans le deuxième chapitre, j’explique que les pays riches en ressources disposés à diversifier leurs économies pour stimuler leur productivité sont confrontés à deux choix; soit développer des industries axées sur les ressources, soit diversifier leur économie dans son ensemble vers de nouvelles activités qui ne dépendent pas nécessairement des ressources naturelles. L’analyse empirique montre que la diversification par les liens vers l’aval du secteur de l'exploitation minière ne conduit pas à des améliorations de productivité. En revanche, l'élargissement et la diversification de la structure de production dans son ensemble offrent des potentiels de croissance de la productivité à des niveaux de revenus plus élevés. Dans le troisième chapitre, j’analyse la relation entre la diversification et la volatilité du point de vue du réseau de production constitué par l’ensemble des liens d’approvisionnement entre secteurs. Je trouve que l'emplacement d'un secteur au sein du réseau et son influence sur d'autres secteurs ont des effets contradictoires sur le risque que les fluctuations subies par ce secteur génèrent une volatilité agrégée. Les secteurs situés dans des régions denses du réseau ont un effet atténuant sur la volatilité globale via les effets de substitution, tandis que ceux qui sont plus influents et au centre d'un réseau fortement asymétrique génèrent des fluctuations globales via les effets de contagion et les liaisons intersectorielles. Ceux-ci suggèrent que la répartition et la structure des liens interindustriels jouent un rôle important dans la façon dont la diversification conditionne l'impact des chocs idiosyncrasiques sur la volatilité globale
In a series of empirical essays, this thesis looks at the various intertwining aspects of growth volatility and productive diversification in resource-rich countries. In the first chapter, I find that while natural resources adversely affect economic growth by increasing growth volatility, resource-rich countries can offset the volatility-triggering effects of natural resources by diversifying their economies. Countries that start off with more diversified production structure or are able to diversify as they develop are likely to benefit from their resource endowment. In the second chapter, I discuss the fact that resource-rich countries willing to diversify their economies are faced with dual policy options; to either develop resource-based industries, or diversify their economies as a whole into new activities not necessarily dependent on natural resources. The empirical analysis shows that diversification through downstream and forward linkages to mining does not lead to productivity enhancements. However, broadening and diversifying the production structure as a whole offer potentials for productivity growth at higher levels of income. In the third chapter, I look at the relation between diversification and volatility from a production network perspective, composed of input-output linkages across sectors. I find that the location of a sector within the production network and its influence on other sectors have conflicting effects on the risk that sectoral shocks lead to aggregate volatility. Sectors that are located in dense parts of the network have a mitigating effect on aggregate volatility via substitution effects, while those that are more influential and central in a strongly asymmetrical network generate aggregate fluctuations via contagion effects and inter-industry linkages. These suggest that the distribution and the network structure of inter-industry linkages play an important role into how diversification conditions the impact of idiosyncratic shocks on aggregate volatility
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Zheng, Lingyu. "Estimation of the linkage matrix in O-GARCH model and GO-GARCH model." Diss., Temple University Libraries, 2010. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/102486.

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Statistics
Ph.D.
We propose new estimation methods for the factor loading matrix in modeling multivariate volatility processes. The key step of the methods is based on the weighted scatter estimators, which does not involve optimizing any objective function and was embedded with robust estimation properties. The method can therefore be easily applied to high-dimensional systems without running into computational problems. The estimation is proved to be consistent and the asymptotic distribution is derived. We compare the performance with other estimation methods and demonstrate its superiority when using both simulated data as well as real-world case studies.
Temple University--Theses
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Ding, Liang. "Information Diffusion across Financial Markets." Kent State University / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=kent1281058095.

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Ozer, Gorkem Beaumont Paul M. "Volatility linkages in growth and asset pricing." Diss., 2005. http://etd.lib.fsu.edu/theses/available/etd-06202005-181852.

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Thesis (Ph. D.)--Florida State University, 2005.
Advisor: Dr. Paul M. Beaumont, Florida State University, College of Social sciences, Dept. of Economics. Title and description from dissertation home page (viewed Sept. 15, 2005). Document formatted into pages; contains xiii, 164 pages. Includes bibliographical references.
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Ying-Ching, Shen, and 沈盈菁. "Volatility Linkages among Real Intereat Rates in International Capital." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/27646225759262160697.

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碩士
淡江大學
財務金融學系
89
Using a multivariate GARCH-BEKK model, this study examines the volatility linkage of real interest rate between U.K.、France、Germany、Italy and U.S. We obtain the character of time-varying relationship between U.S. capital market and four major euro-capital markets by analyzing the texture of conditional covariances and conditional correlations. Our results indicate that all pairs of capital markets including U.S.-U.K., U.S.-France, U.S.-Germany and U.S.-Italy have significant permanent and transitory covariance. As a consequence, it appears that the real interest rates in international capital market are highly connected both in the long-run and the short-run. This finding implies that every country monetary policy has lost its effectiveness in terms of long period and short period, government must take the influence of economic factor abroad into consideration to achieve the goal of policy. This paper suggests that government should restructure a healthy financial regulation to create a safety transaction market so that the national competitiveness will progress through the successful market system.
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Wu, Hui-Hsin, and 吳慧馨. "Volatility Linkages among Euro, British Pound, Swiss Franc and Japanese Yen." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/13002259950845129128.

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碩士
國立成功大學
會計學系碩博士班
95
This paper examines volatility spillover among Euro, British Pound, Swiss Franc and Japanese Yen. For this purpose, volatility implied by currency options on the four currencies and conditional variance of the return of the four spot exchange rates are analyzed. Vector autoregressive modeling and Granger-causality test are applied to ascertain the dynamics of the implied volatilities across currencies. We find that there are bidirectional volatility spillover between the Euro and the British pound, the Euro and the Swiss franc, the British pound and the Swiss franc, the Swiss franc and Japanese Yen. Moreover, we also examine the relationship between implied volatility and GARCH volatility of the four currencies. We find that there are bidirectional relationship between implied volatility and GARCH volatility of the British Pound, the Swiss Franc and the Japanese Yen.
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Books on the topic "Volatility linkages"

1

Canarella, Giorgio. NAFTA stock markets: Dynamic return and volatility linkages. Hauppauge, N.Y: Nova Science Publishers, 2009.

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1945-, Miller Stephen M., and Pollard Stephen K, eds. NAFTA stock markets: Dynamic return and volatility linkages. Hauppauge, N.Y: Nova Science Publishers, 2009.

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Rashid, Abdul. Capital inflows, inflation and exchange rate volatility: An investigation for linear and nonlinear causal linkages. Islamabad: Pakistan Institute of Development Economics, 2010.

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W, Hertel Thomas. Commodity price volatility in the biofuel era: An examination of the linkage between energy and agricultural markets. Cambridge, MA: National Bureau of Economic Research, 2011.

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Chatterjee, Susmita, Dhrubaranjan Dandapat, and Bhaskar Bagchi. Dynamic Linkages and Volatility Spillover: Effects of Oil Prices on Exchange Rates and Stock Markets of Emerging Economies. Emerald Publishing Limited, 2016.

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Chatterjee, Susmita, Dhrubaranjan Dandapat, and Bhaskar Bagchi. Dynamic Linkages and Volatility Spillover: Effects of Oil Prices on Exchange Rates, and Stock Markets of Emerging Economies. Emerald Publishing Limited, 2016.

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Hepburn, Erecia, and Allison Karpyn. From Soil to Stomach. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190626686.003.0012.

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One important and growing strategy to help local communities reinvest in local food is agritourism. Although advances have been made over the past half-century to promote and ensure food security globally, volatility in food prices and an increasing reliance on processed foods have created a global deterioration of nutrition needs. Although the majority of countries consider agritourism a venture to assist smaller farms looking to diversify, the approach is also a promising mechanism to encourage participation in sustainable agriculture and health promotion. In this chapter, we define agritourism, explore examples in the Caribbean and Europe, and examine how forward and backward linkages support its growth.
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Mehling, Michael. Legal Frameworks for Linking National Emissions Trading Systems. Edited by Kevin R. Gray, Richard Tarasofsky, and Cinnamon Carlarne. Oxford University Press, 2016. http://dx.doi.org/10.1093/law/9780199684601.003.0013.

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This chapter discusses the linking of emissions trading regimes for climate change governance. It also assesses the legal frameworks for linking as the process assumes varying degrees of formality, with implications for the legal nature and the procedural requirements of adoption. Linkage results in an enlarged market, promising greater diversity of abatement costs and thus more efficient achievement of climate change mitigation objectives. Linkage is also credited with promoting liquidity and reduced price volatility in the carbon market, helping reduce the likelihood of manipulation and abuse. These results lead to operation in a multilayered framework of established rules, principles, and procedures constituting the legal order. Carbon markets are highly regulated, and this relevance of norms also extends to a linkage between such markets. The chapter analyses past and current trading schemes as a case study, such as the European Union Emission Trading Scheme, the biggest greenhouse gas emissions trading scheme.
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Karakoç, Ekrem. Introduction. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198826927.003.0001.

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This chapter opens by providing empirical evidence that income inequality persists or increases in many new democracies after their transition. Then it gives a brief overview of studies that expect reduced inequality because of democratization and questions their three assumptions regarding median voters, party system stability, and the authoritarian legacy on citizen–party linkage. It offers a revision to the median voter theory, emphasizes high electoral volatility in new democracies, and reexamines the legacy of previous nondemocratic regimes on citizen–party linkage. Having offered its argument in a nutshell, it turns to research methodology and case selection. It offers the rationale behind employing a multimethod approach to test its arguments. It tests its argument through large-N analysis in new and longstanding democracies in Europe as well as two paired case studies: Poland and the Czech Republic in postcommunist Europe and Turkey and Spain in Southern Europe.
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Book chapters on the topic "Volatility linkages"

1

Rasoulinezhad, Ehsan, Farhad Taghizadeh-Hesary, and Naoyuki Yoshino. "Volatility Linkages Between Energy and Food Prices." In The Handbook of Energy Policy, 1–24. Singapore: Springer Nature Singapore, 2022. http://dx.doi.org/10.1007/978-981-16-9680-0_30-1.

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Dreassi, Alberto, Stefano Miani, Andrea Paltrinieri, and Alex Sclip. "Volatility Linkages and Co-movements Between International Stocks and the Sukuk Market." In Bank Funding, Financial Instruments and Decision-Making in the Banking Industry, 31–61. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-30701-5_3.

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Kiatmanaroch, Teera, Ornanong Puarattanaarunkorn, Kittawit Autchariyapanitkul, and Songsak Sriboonchitta. "Volatility Linkages Between Price Returns of Crude Oil and Crude Palm Oil in the ASEAN Region: A Copula Based GARCH Approach." In Lecture Notes in Computer Science, 428–39. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-25135-6_39.

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Kanamura, Takashi. "Dynamic Price Linkage and Volatility Structure Model Between Carbon Markets." In Springer Proceedings in Mathematics & Statistics, 301–8. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-13881-7_33.

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Rasouli, Zahra, Mohammad Ghahremanzadeh, and Masoomeh Rashidghalam. "Oil Price Volatility and Food Price Linkage: Evidence of Dutch Disease in Iran’s Agricultural Sector." In The Economics of Agriculture and Natural Resources, 171–81. Singapore: Springer Singapore, 2020. http://dx.doi.org/10.1007/978-981-15-5250-2_11.

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"Introduction." In Dynamic Linkages and Volatility Spillover, 1–13. Emerald Group Publishing Limited, 2016. http://dx.doi.org/10.1108/978-1-78635-554-620161001.

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"Literature Review." In Dynamic Linkages and Volatility Spillover, 15–20. Emerald Group Publishing Limited, 2016. http://dx.doi.org/10.1108/978-1-78635-554-620161002.

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"New Oil Price Shock: Effect on the Emerging Economies." In Dynamic Linkages and Volatility Spillover, 21–45. Emerald Group Publishing Limited, 2016. http://dx.doi.org/10.1108/978-1-78635-554-620161003.

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"Crude Oil Price, Exchange Rates, and Stock Markets of Emerging Economies." In Dynamic Linkages and Volatility Spillover, 47–78. Emerald Group Publishing Limited, 2016. http://dx.doi.org/10.1108/978-1-78635-554-620161004.

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"Interdependence and Interrelationship between Crude Oil Prices, Exchange Rates, and Indian Stock Market." In Dynamic Linkages and Volatility Spillover, 79–110. Emerald Group Publishing Limited, 2016. http://dx.doi.org/10.1108/978-1-78635-554-620161005.

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Conference papers on the topic "Volatility linkages"

1

"Political Friction, Global Value Chains Linkages and Stock Price Volatility." In 2019 2nd International Conference on Contemporary Education and Economic Development. Clausius Scientific Press, 2019. http://dx.doi.org/10.23977/ceed.2019.037.

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Chen, Zhaoxu, and Jun Xu. "Dynamic Linkages between Stock Market Volatility and Macroeconomic Variables: Empirical Evidence Based on China." In 2009 International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2009. http://dx.doi.org/10.1109/bife.2009.191.

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Ahmed, Rahil Irfan, and Guohao Zhao. "Dynamic Linkages of Return and Asymmetric Volatility Spillovers Among Asian Emerging Stock Markets: Evidence from Post-Global Financial Crisis Period." In 3rd International Conference on Advances in Management Science and Engineering (IC-AMSE 2020). Paris, France: Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.200402.005.

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Pribyl, Barbara, Satinder Purewal, and Harikrishnan Tulsidas. "Development of the Petroleum Resource Specifications and Guidelines PRSG – A Petroleum Classification System for the Energy Transition." In SPE Annual Technical Conference and Exhibition. SPE, 2021. http://dx.doi.org/10.2118/205847-ms.

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Abstract The Petroleum Working Group (PWG) of the United Nations Economic Commission for Europe (UNECE) has developed the Petroleum Resource Specifications and Guidelines (PRSG) to facilitate the application of the United Nations Framework Classification for Resources (UNFC) for evaluating and classifying petroleum projects. The UNFC was developed by the Expert Group on Resource Management (EGRM) and covers all resource sectors such as minerals, petroleum, renewable energy, nuclear resources, injection projects, anthropogenic resources and groundwater. It has a unique three- dimensional structure to describe environmental, social and economic viability (E-axis), technical feasibility and maturity (F-axis) and degree of confidence in the resource estimates (G-axis). The UNFC is fully aligned to holistic and sustainable resource management called for by the 2030 Agenda for Sustainable Development (2030 Agenda). UNFC can be used by governments for integrated energy planning, companies for developing business models and the investors in decision making. Internationally, all classification systems and their application continue to evolve to incorporate the latest technical understanding and usage and societal, government and regulatory expectations. The PRSG incorporates key elements from current global petroleum classification systems. Furthermore, it provides a forward-thinking approach to including aspects of integrity and ethics. It expands on the unique differentiator of the UNFC to integrate social and environmental issues in the project evaluation. Several case studies have been carried out (in China, Kuwait, Mexico, Russia, and Uganda) using UNFC. Specifically, PRSG assists in identifying critical social and environmental issues to support their resolution and development sustainably. These issues may be unique to the country, location and projects and mapped using a risk matrix. This may support the development of a road map to resolve potential impediments to project sanction. The release of the PRSG comes at a time of global economic volatility on a national and international level due to the ongoing impact and management of COVID-19, petroleum supply and demand uncertainty and competing national and international interests. Sustainable energy is not only required for industries but for all other social development. It is essential for private sector development, productive capacity building and expansion of trade. It has strong linkages to climate action, health, education, water, food security and woman empowerment. Moreover, enduring complex system considerations in balancing the energy trilemma of reliable supply, affordability, equity, and social and environmental responsibility remain. These overarching conditions make it even more essential to ensure projects are evaluated in a competent, ethical and transparent manner. While considering all the risks, it is also critical to reinforce the positive contribution a natural resource utilization project provides to society. Such an inquiry can focus on how the project contributes to the quality of life, environment, and the economy – the people, planet, and prosperity triad. Such an approach allows consistent, robust and sustainable investment decision making and energy policy development.
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Reports on the topic "Volatility linkages"

1

Hertel, Thomas, and Jayson Beckman. Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage Between Energy and Agricultural Markets. Cambridge, MA: National Bureau of Economic Research, February 2011. http://dx.doi.org/10.3386/w16824.

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