Time-frequency information transmission among financial markets: evidence from implied volatility
暂无分享,去创建一个
[1] M. Naeem,et al. Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions , 2021, Resources Policy.
[2] M. Naeem,et al. Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic , 2021 .
[3] A. Tiwari,et al. Analysing the spillovers between crude oil prices, stock prices and metal prices: The importance of frequency domain in USA , 2021 .
[4] Massimiliano Caporin,et al. Asymmetric and time-frequency spillovers among commodities using high-frequency data , 2021 .
[5] A. Tiwari,et al. Analysing spillover between returns and volatility series of oil across major stock markets , 2020 .
[6] A. Tiwari,et al. Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution , 2020, Technological Forecasting and Social Change.
[7] M. Nasir,et al. Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty , 2020, The Quarterly Review of Economics and Finance.
[8] X. Vo,et al. “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet , 2020, The North American Journal of Economics and Finance.
[9] Nafeesa Yunus. Time-varying linkages among gold, stocks, bonds and real estate , 2020 .
[10] A. Tiwari,et al. Synchronisation of policy related uncertainty, financial stress and economic activity in the United States , 2020 .
[11] M. Nasir,et al. Financialisation of natural resources & instability caused by risk transfer in commodity markets , 2020, Resources Policy.
[12] H. An,et al. Dynamic volatility spillovers among bulk mineral commodities: A network method , 2020, Resources Policy.
[13] S. Kang,et al. Characteristics of spillovers between the US stock market and precious metals and oil , 2020 .
[14] A. Tiwari,et al. Spillovers between US real estate and financial assets in time and frequency domains , 2020 .
[15] M. Naeem,et al. Can Bitcoin Glitter More Than Gold for Investment Styles? , 2020 .
[16] Jamel Boukhatem,et al. Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis , 2020, Annals of Operations Research.
[17] Walid Mensi,et al. Energy, precious metals, and GCC stock markets: Is there any risk spillover? , 2019, Pacific-Basin Finance Journal.
[18] Farzana Noor,et al. Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan , 2019, Resources Policy.
[19] G. Uddin,et al. Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach , 2019, Energy.
[20] M. Naeem,et al. Spillover network of commodity uncertainties , 2019, Energy Economics.
[21] Seong‐Min Yoon,et al. Network connectedness and net spillover between financial and commodity markets , 2019, The North American Journal of Economics and Finance.
[22] W. Ahmad,et al. Financial connectedness of BRICS and global sovereign bond markets , 2018, Emerging Markets Review.
[23] A. Tiwari,et al. Volatility spillovers across global asset classes: Evidence from time and frequency domains , 2018, The Quarterly Review of Economics and Finance.
[24] G. Uddin,et al. Precious metal returns and oil shocks: A time varying connectedness approach , 2018, Resources Policy.
[25] Rangan Gupta,et al. Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices , 2018, Resources Policy.
[26] Karsten Schweikert,et al. Are gold and silver cointegrated? New evidence from quantile cointegrating regressions , 2018 .
[27] J. Polanco-Martínez,et al. A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test , 2018 .
[28] Anupam Dutta. A note on the implied volatility spillovers between gold and silver markets , 2017 .
[29] F. Faisal,et al. The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration , 2017 .
[30] A. Maghyereh,et al. Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries , 2017 .
[31] S. Hammoudeh,et al. Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications , 2017 .
[32] J. Reboredo,et al. Quantile causality between gold commodity and gold stock prices , 2017 .
[33] Walid Mensi,et al. Time-varying volatility spillovers between stock and precious metal markets with portfolio implications , 2017 .
[34] F. Jawadi,et al. Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach , 2017 .
[35] J. Pesonen,et al. Commodity Market Based Hedging against Stock Market Risk in Times of Financial Crisis: The Case of Crude Oil and Gold , 2017, Journal of International Financial Markets, Institutions and Money.
[36] Dayong Zhang. Oil shocks and stock markets revisited: Measuring connectedness from a global perspective , 2017 .
[37] S. Sosvilla‐Rivero,et al. Fear connectedness among asset classes , 2017 .
[38] Anshul Jain,et al. Cointegration and Nonlinear Causality Amongst Gold, Oil, and the Indian Stock Market: Evidence from Implied Volatility Indices , 2017 .
[39] B. Awartani,et al. The connectedness between crude oil and financial markets: Evidence from implied volatility indices , 2016 .
[40] Yudong Wang,et al. Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging , 2016 .
[41] S. Sosvilla‐Rivero,et al. Volatility Transmission between Stock and Exchange-Rate Markets: A Connectedness Analysis , 2016 .
[42] Georgios Sermpinis,et al. Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices , 2016 .
[43] P. Houweling,et al. Factor Investing in the Corporate Bond Market , 2016 .
[44] Anshul Jain,et al. Dynamic linkages among oil price, gold price, exchange rate, and stock market in India , 2016 .
[45] O. S. Yaya,et al. Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis , 2016 .
[46] H. Stanley,et al. Who are the net senders and recipients of volatility spillovers in China’s financial markets? , 2016 .
[47] A. Maghyereh,et al. The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes , 2016 .
[48] Aviral Kumar Tiwari,et al. Neoclassical finance, behavioral finance and noise traders: Assessment of gold–oil markets , 2016 .
[49] Aviral Kumar Tiwari,et al. Continuous wavelet transform and rolling correlation of European stock markets , 2016 .
[50] Perry Sadorsky,et al. Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ , 2015 .
[51] Jozef Baruník,et al. Measuring the frequency dynamics of financial connectedness and systemic risk , 2015, 1507.01729.
[52] Mohamed Boutahar,et al. Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis , 2015 .
[53] Jozef Baruník,et al. Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers , 2015, SSRN Electronic Journal.
[54] Seong‐Min Yoon,et al. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate , 2015 .
[55] Wensheng Kang,et al. The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship , 2014 .
[56] P. Narayan,et al. Stock returns, mutual fund flows and spillover shocks , 2014 .
[57] M. Wohar,et al. The relationship between energy and equity markets: evidence from volatility impulse response functions , 2014 .
[58] Xiao Lu,et al. Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets , 2014, The Journal of Fixed Income.
[59] A. Tiwari,et al. Stock Market Integration in Asian Countries: evidence from Wavelet multiple correlations , 2013 .
[60] Juan C. Reboredo,et al. Is gold a safe haven or a hedge for the US dollar? Implications for risk management , 2013 .
[61] Ying Fan,et al. How Does Oil Market Uncertainty Interact with Other Markets? An Empirical Analysis of Implied Volatility Index , 2013 .
[62] Juan C. Reboredo,et al. Is gold a hedge or safe haven against oil price movements , 2013 .
[63] A. Tourani-Rad,et al. Contemporaneous Spill-Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices: Contemporaneous Spill-Over , 2013 .
[64] A. Créti,et al. On the links between stock and commodity markets' volatility , 2013 .
[65] S. Thorp,et al. Financialization, Crisis and Commodity Correlation Dynamics , 2013 .
[66] Shunsuke Managi,et al. Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold , 2013 .
[67] Michel A. Robe,et al. Speculators, Commodities and Cross-Market Linkages , 2012 .
[68] Duc Khuong Nguyen,et al. On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness , 2012 .
[69] Duc Khuong Nguyen,et al. Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management , 2011 .
[70] Duc Khuong Nguyen,et al. Return and volatility transmission between world oil prices and stock markets of the GCC countries , 2011 .
[71] Kenneth J. Singleton,et al. Investor Flows and the 2008 Boom/Bust in Oil Prices , 2011, Manag. Sci..
[72] R. Kolb. Sovereign debt : from safety to default , 2011 .
[73] Robert W. Faff,et al. Asymmetry in return and volatility spillover between equity and bond markets in Australia , 2010 .
[74] F. Diebold,et al. Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers , 2010 .
[75] Michael McAleer,et al. Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH , 2010 .
[76] M. Aziakpono,et al. Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets , 2009 .
[77] Michael S. Haigh,et al. Commodities and Equities: Ever a “Market of One”? , 2009, The Journal of Alternative Investments.
[78] D. Baur,et al. Institute for International Integration Studies Is Gold a Safe Haven? International Evidence Is Gold a Safe Haven? International Evidence Is Gold a Safe Haven? International Evidence , 2022 .
[79] J. Isaac Miller,et al. Crude oil and stock markets: Stability, instability, and bubbles ☆ , 2009 .
[80] Nicola Spagnolo,et al. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets , 2008, SSRN Electronic Journal.
[81] Neil Shephard,et al. Measuring Downside Risk - Realised Semivariance , 2008 .
[82] Jungseok Park,et al. Oil price shocks and stock markets in the U.S. and 13 European countries , 2008 .
[83] F. Diebold,et al. Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets , 2008 .
[84] K. Inagaki. Testing for volatility spillover between the British pound and the euro , 2007 .
[85] Prithviraj Banerjee,et al. Implied Volatility and Future Portfolio Returns , 2006 .
[86] Guglielmo Maria Caporale,et al. Volatility transmission and financial crises , 2006 .
[87] Sami Vähämaa,et al. Implied volatility linkages among major European currencies , 2006 .
[88] Vasiliki D. Skintzi,et al. Volatility Spillovers and Dynamic Correlation in European Bond Markets , 2006 .
[89] Carlo A. Favero,et al. Explaining co-movements between stock markets: The case of US and Germany , 2005 .
[90] Terence C. Mills,et al. Gold as a hedge against the dollar , 2005 .
[91] Yisong S. Tian,et al. The Model-Free Implied Volatility and Its Information Content , 2005 .
[92] Tatsuyoshi Miyakoshi,et al. Spillovers of stock return volatility to Asian equity markets from Japan and the US , 2003 .
[93] Stephen Taylor,et al. Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns , 2000 .
[94] Peter Guttorp,et al. Wavelet analysis of covariance with application to atmospheric time series , 2000 .
[95] Robert E. Whaley,et al. The Investor Fear Gauge , 2000 .
[96] A. Kanas. Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence , 2000 .
[97] S. Sosvilla‐Rivero,et al. Exchange rate volatility in the EMS before and after the fall , 1999 .
[98] Perry Sadorsky. Oil price shocks and stock market activity , 1999 .
[99] K. Demeterfi,et al. A Guide to Volatility and Variance Swaps , 1999 .
[100] N. Laopodis. Asymmetric volatility spillovers in deutsche mark exchange rates , 1998 .
[101] Jeff Fleming. The quality of market volatility forecasts implied by S&P 100 index option prices , 1998 .
[102] Ronald W. Masulis,et al. Energy Shocks and Financial Markets , 1996 .
[103] R. Baillie,et al. INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES , 1991 .
[104] S. Ross. Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy , 1989 .
[105] Robert F. Engle,et al. Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market , 1988 .
[106] A. Kyle. Continuous Auctions and Insider Trading , 1985 .
[107] E. Fama. EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .
[108] Taufiq Choudhry,et al. Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests , 2015 .
[109] Duc Khuong Nguyen,et al. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory , 2014 .
[110] Janne Äijö,et al. Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices , 2008 .
[111] Farooq Malik,et al. Shock and volatility transmission in the oil, US and Gulf equity markets , 2007 .
[112] P. Carr,et al. Option Pricing, Interest Rates and Risk Management: Towards a Theory of Volatility Trading , 2001 .
[113] E. Fama. The Behavior of Stock-Market Prices , 1965 .
[114] B. Lucey,et al. Institute for International Integration Studies Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold , 2022 .