Survey of volatility and spillovers on financial markets

0490351 - ÚTIA 2019 RIV CZ eng J - Článek v odborném periodiku
Kočenda, Evžen
Survey of volatility and spillovers on financial markets.
Prague Economic Papers. Roč. 27, č. 3 (2018), s. 293-305. ISSN 1210-0455. E-ISSN 2336-730X
Grant CEP: GA ČR(CZ) GBP402/12/G097
Institucionální podpora: RVO:67985556
Klíčová slova: volatility * spillovers * financial markets
Obor OECD: Applied Economics, Econometrics
Impakt faktor: 0.629, rok: 2018
http://library.utia.cas.cz/separaty/2018/E/kocenda-0490351.pdf

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric techniques. Moreover, the implications of the results can be related to a wide set of markets as the surveyed articles cover emerging and developed European markets as well as the United States.
Trvalý link: http://hdl.handle.net/11104/0284591