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A variance spillover analysis without covariances: what do we miss?

Citations

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Cited by:

  1. Lastrapes, William D. & Wiesen, Thomas F.P., 2021. "The joint spillover index," Economic Modelling, Elsevier, vol. 94(C), pages 681-691.
  2. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies," Resources Policy, Elsevier, vol. 71(C).
  3. Yin, Kedong & Liu, Zhe & Jin, Xue, 2020. "Interindustry volatility spillover effects in China’s stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  4. Bonato, Matteo, 2019. "Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 184-202.
  5. Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017. "A vector heterogeneous autoregressive index model for realized volatility measures," International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
  6. Helmut Herwartz & Alberto Saucedo, 2020. "Food–oil volatility spillovers and the impact of distinct biofuel policies on price uncertainties on feedstock markets," Agricultural Economics, International Association of Agricultural Economists, vol. 51(3), pages 387-402, May.
  7. Thomas F. P. Wiesen & Lakshya Bharadwaj, 2023. "Cryptocurrency Connectedness: Does Controlling for the Cross-Correlations Matter?," Applied Economics Letters, Taylor & Francis Journals, vol. 30(20), pages 2873-2880, November.
  8. Liow, Kim Hiang & Huang, Yuting, 2018. "The dynamics of volatility connectedness in international real estate investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 195-210.
  9. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers," Journal of Financial Markets, Elsevier, vol. 27(C), pages 55-78.
  10. Nyberg, Henri & Pönkä, Harri, 2016. "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
  11. Licheng Sun & Liang Meng & Mohammad Najand, 2017. "The Role of U.S. Market on International Risk-Return Tradeoff Relations," The Financial Review, Eastern Finance Association, vol. 52(3), pages 499-526, August.
  12. repec:prg:jnlpep:v:preprint:id:650:p:1-13 is not listed on IDEAS
  13. Stefan Lyocsa & Peter Molnar & Igor Fedorko, 2016. "Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 453-475, October.
  14. Evžen Kočenda, 2018. "Survey of Volatility and Spillovers on Financial Markets," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(3), pages 293-305.
  15. Amar, Amine Ben & Goutte, Stéphane & Isleimeyyeh, Mohammad & Benkraiem, Ramzi, 2022. "Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?," International Review of Financial Analysis, Elsevier, vol. 82(C).
  16. Dimitrios Vortelinos & Konstantinos Gkillas (Gillas) & Costas Syriopoulos & Argyro Svingou, 2017. "Asymmetric and nonlinear inter-relations of US stock indices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 14(1), pages 78-129, December.
  17. Chanatásig-Niza, Evelyn & Ciarreta, Aitor & Zarraga, Ainhoa, 2022. "A volatility spillover analysis with realized semi(co)variances in Australian electricity markets," Energy Economics, Elsevier, vol. 111(C).
  18. Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.
  19. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2017. "Asymmetric volatility connectedness on the forex market," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 39-56.
  20. Buncic, Daniel & Gisler, Katja I.M., 2016. "Global equity market volatility spillovers: A broader role for the United States," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1317-1339.
  21. Riza Demirer & Konstantinos Gkillas & Christos Kountzakis & Amaryllis Mavragani, 2020. "Risk Appetite and Jumps in Realized Correlation," Mathematics, MDPI, vol. 8(12), pages 1-11, December.
  22. Kočenda, Evžen & Moravcová, Michala, 2019. "Exchange rate comovements, hedging and volatility spillovers on new EU forex markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 42-64.
  23. Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 15112, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  24. Cipollini, Andrea & Lo Cascio, Iolanda & Muzzioli, Silvia, 2018. "Risk aversion connectedness in five European countries," Economic Modelling, Elsevier, vol. 71(C), pages 68-79.
  25. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
  26. Ben Amar, Amine & Goutte, Stéphane & Isleimeyyeh, Mohammad, 2022. "Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 386-400.
  27. Kim Hiang LIOW & Jeongseop SONG, 2019. "Market Integration Among the US and Asian Real Estate Investment Trusts in Crisis Times," International Real Estate Review, Global Social Science Institute, vol. 22(4), pages 463-512.
  28. Pedro Pires Ribeiro & José Dias Curto, 2017. "Volatility spillover effects in interbank money markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 105-136, February.
  29. Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers hal-03338209, HAL.
  30. Apergis, Nicholas & Baruník, Jozef & Lau, Marco Chi Keung, 2017. "Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?," Energy Economics, Elsevier, vol. 66(C), pages 108-115.
  31. Chen, Yufeng & Li, Wenqi & Qu, Fang, 2019. "Dynamic asymmetric spillovers and volatility interdependence on China’s stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 825-838.
  32. Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
  33. Guan, Bo & Mazouz, Khelifa & Xu, Yongdeng, 2023. "Asymmetric volatility spillover between crude oil and other asset markets," Cardiff Economics Working Papers E2023/27, Cardiff University, Cardiff Business School, Economics Section.
  34. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series 1517, University of St. Gallen, School of Economics and Political Science.
  35. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Asymmetric spillovers and connectedness between crude oil and currency markets using high-frequency data," Resources Policy, Elsevier, vol. 77(C).
  36. Sachapon Tungsong & Fabio Caccioli & Tomaso Aste, 2017. "Relation between regional uncertainty spillovers in the global banking system," Papers 1702.05944, arXiv.org.
  37. Nishimura, Yusaku & Sun, Bianxia, 2018. "The intraday volatility spillover index approach and an application in the Brexit vote," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 241-253.
  38. Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2018. "Asymmetric semi-volatility spillover effects in EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 221-230.
  39. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Quantile spillovers and connectedness analysis between oil and African stock markets," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 60-83.
  40. Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0058, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  41. Shahzad, Syed Jawad Hussain & Ferrer, Román & Ballester, Laura & Umar, Zaghum, 2017. "Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 9-26.
  42. Chung, Chien-Ping & Liao, Tzu-Hsiang & Lee, Hsiu-Chuan, 2021. "Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  43. Syed Jawad Hussain Shahzad & Román Ferrer, 2020. "Dynamic spillover effects among tourism, economic growth and macro-finance risk factors," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(3), pages 173-194, September.
  44. Abosedra, Salah & Arayssi, Mahmoud & Ben Sita, Bernard & Mutshinda, Crispin, 2020. "Exploring GDP growth volatility spillovers across countries," Economic Modelling, Elsevier, vol. 89(C), pages 577-589.
  45. Bouri, Elie, 2023. "Spillovers in the joint system of conditional higher-order moments: US evidence from green energy, brown energy, and technology stocks," Renewable Energy, Elsevier, vol. 210(C), pages 507-523.
  46. Baklaci, Hasan Fehmi & Aydoğan, Berna & Yelkenci, Tezer, 2020. "Impact of stock market trading on currency market volatility spillovers," Research in International Business and Finance, Elsevier, vol. 52(C).
  47. Nekhili, Ramzi & Bouri, Elie, 2023. "Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management," Energy Economics, Elsevier, vol. 119(C).
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