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Статті в журналах з теми "Volatility Linkage"
Hung, Ngo Thai. "Return and volatility spillover across equity markets between China and Southeast Asian countries." Journal of Economics, Finance and Administrative Science 24, no. 47 (April 29, 2019): 66–81. http://dx.doi.org/10.1108/jefas-10-2018-0106.
Повний текст джерелаZeng, Hongjun. "Volatility Modelling of Chinese Stock Market Monthly Return and Investor Sentiment Using Multivariate GARCH Models." International Journal of Accounting & Finance Review 5, no. 1 (June 22, 2020): 123–33. http://dx.doi.org/10.46281/ijafr.v5i1.635.
Повний текст джерелаZeng, Hongjun. "Volatility Modelling of Chinese Stock Market Monthly Return and Investor Sentiment Using Multivariate GARCH Models." International Journal of Accounting & Finance Review 5, no. 1 (June 27, 2020): 123–33. http://dx.doi.org/10.46281/ijafr.v5i1.643.
Повний текст джерелаDing, Liang, Yirong Huang, and Xiaoling Pu. "Volatility linkage across global equity markets." Global Finance Journal 25, no. 2 (2014): 71–89. http://dx.doi.org/10.1016/j.gfj.2014.06.002.
Повний текст джерелаEtienne, Xiaoli Liao, Andrés Trujillo-Barrera, and Seth Wiggins. "Price and volatility transmissions between natural gas, fertilizer, and corn markets." Agricultural Finance Review 76, no. 1 (May 3, 2016): 151–71. http://dx.doi.org/10.1108/afr-10-2015-0044.
Повний текст джерелаAlaganar, Vaira T., and Ramaprasad Bhar. "Information and volatility linkage under external shocks." International Review of Financial Analysis 11, no. 1 (January 2002): 59–71. http://dx.doi.org/10.1016/s1057-5219(01)00070-9.
Повний текст джерелаNguyen, Linh Xuan Diep, Simona Mateut, and Thanaset Chevapatrakul. "Business-linkage volatility spillovers between US industries." Journal of Banking & Finance 111 (February 2020): 105699. http://dx.doi.org/10.1016/j.jbankfin.2019.105699.
Повний текст джерелаLee, Hsiu-Chuan, Chih-Hsiang Hsu, and Cheng-Yi Chien. "Spillovers of international interest rate swap markets and stock market volatility." Managerial Finance 42, no. 10 (October 10, 2016): 943–62. http://dx.doi.org/10.1108/mf-08-2015-0221.
Повний текст джерелаLatinovic, Milica, Vesna Bogojevic Arsic, and Milica Bulajic. "Volatility spillover effect in Western Balkans." Acta Oeconomica 68, no. 1 (March 2018): 79–100. http://dx.doi.org/10.1556/032.2018.68.1.4.
Повний текст джерелаSaxena, Swami P., and Sonam Bhadauriya. "Inter — Linkage of FII Inflows and Stock Market Volatility." Asia Pacific Business Review 7, no. 3 (July 2011): 18–23. http://dx.doi.org/10.1177/097324701100700302.
Повний текст джерелаДисертації з теми "Volatility Linkage"
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.
Повний текст джерелаPh.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
Ding, Liang. "Information Diffusion across Financial Markets." Kent State University / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=kent1281058095.
Повний текст джерелаZilberman, 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.
Повний текст джерелаAl, 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.
Повний текст джерелаJoya, Mohammad Omar. "Trois essais sur la volatilité macroéconomique, la diversification productive, et les liaisons intersectorielles." Thesis, Bordeaux, 2017. http://www.theses.fr/2017BORD0722/document.
Повний текст джерелаIn 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
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.
Повний текст джерелаSilva, 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/.
Повний текст джерелаThis 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.
Hung, Chih-Hsien, and 洪熾賢. "Dynamic Volatility Linkage between Taiwan MSCI Index and International Stock Markets." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/09954040415724641669.
Повний текст джерела國立中山大學
財務管理學系研究所
98
This paper uses multivariate DCC-GARCH model to investigate the volatility of dynamic correlation between MSCI Taiwan stock index and the USA, China, Japan , Asia and global stock market. The existence of stock market volatility asymmetry, volatility spread of infection and clustering effects also are analysed, while in case of the U.S. sub-prime mortgage crisis and triggered the global financial tsunami. It discusses the Taiwan stock market fluctuations and structural changes in the international markets and the market dynamics related to change of influence and change. The main findings are (1)The volatility of continuity between the spread of infection and the clustering effect between the Taiwan stock market and international market fluctuations, (2) During the global financial tsunami, the correlation between changes in the international market and the market Correlation of different dynamic fluctuations and structural changes occurring in different time point also show the impact of changes of individual markets (3)The correlation between MSCI Taiwan stock index and the USA, China , Japan, indicates that the impact of change of stock the Japanese stock market on the MSCI Taiwan stock index is low, while China and the MSCI Taiwan stock index-related enhances, (4) market structure changes, the MSCI Taiwan stock index and the global dynamic fluctuations in the market is still a significant, The visible impact of the shock oscillation is wide and return to equilibrium of adjustment is still ongoing.
Chang, Huajan, and 張華然. "Using Multivariate Stochastic Volatility Model to Investigate the Dynamic Linkage between American Depository Receipts and Underlying Stocks." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/76474331342660824994.
Повний текст джерелаOzer, Gorkem Beaumont Paul M. "Volatility linkages in growth and asset pricing." Diss., 2005. http://etd.lib.fsu.edu/theses/available/etd-06202005-181852.
Повний текст джерелаAdvisor: 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.
Книги з теми "Volatility Linkage"
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.
Знайти повний текст джерелаCanarella, Giorgio. NAFTA stock markets: Dynamic return and volatility linkages. Hauppauge, N.Y: Nova Science Publishers, 2009.
Знайти повний текст джерела1945-, Miller Stephen M., and Pollard Stephen K, eds. NAFTA stock markets: Dynamic return and volatility linkages. Hauppauge, N.Y: Nova Science Publishers, 2009.
Знайти повний текст джерелаFazal, Husain, and Pakistan Institute of Development Economics, eds. Capital inflows, inflation and exchange rate volatility: An investigation for linear and nonlinear causal linkages. Islamabad: Pakistan Institute of Development Economics, 2010.
Знайти повний текст джерелаMehling, 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.
Повний текст джерелаKarakoç, Ekrem. Introduction. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198826927.003.0001.
Повний текст джерелаChatterjee, 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.
Знайти повний текст джерелаChatterjee, 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.
Знайти повний текст джерелаHepburn, Erecia, and Allison Karpyn. From Soil to Stomach. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190626686.003.0012.
Повний текст джерелаЧастини книг з теми "Volatility Linkage"
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.
Повний текст джерелаRasouli, 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.
Повний текст джерелаRasoulinezhad, 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.
Повний текст джерелаDreassi, 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.
Повний текст джерелаKiatmanaroch, 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.
Повний текст джерелаShahsavari, Masoumeh. "Dynamic correlation and volatility linkage between stocks and sukuk." In The Growth of Islamic Finance and Banking, 136–51. Routledge, 2019. http://dx.doi.org/10.4324/9780429262432-10.
Повний текст джерелаDoi, Hirofumi, and Takeshi Shinoda. "Conceptual Modeling for Vital Power Scale for Corporate Management by Theory of Constraint." In Advances in Transdisciplinary Engineering. IOS Press, 2019. http://dx.doi.org/10.3233/atde190120.
Повний текст джерела"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.
Повний текст джерела"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.
Повний текст джерела"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.
Повний текст джерелаТези доповідей конференцій з теми "Volatility Linkage"
"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.
Повний текст джерелаChen, 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.
Повний текст джерелаAhmed, 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.
Повний текст джерелаPribyl, 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.
Повний текст джерелаЗвіти організацій з теми "Volatility Linkage"
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.
Повний текст джерела