Počet záznamů: 1
Asymmetric connectedness on the U.S. stock market: bad and good volatility spillovers
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SYSNO ASEP 0452424 Zařazení RIV Záznam nebyl označen do RIV Název Asymmetric connectedness on the U.S. stock market: bad and good volatility spillovers Tvůrce(i) Baruník, J. (CZ)
Kočenda, Evžen (NHU-C) RID
Vácha, L. (CZ)Zdroj.dok. International Work-Conference on Time Series (ITISE 2014). - Granada : COPICENTRO GRANADA S L, 2014 - ISBN 978-84-15814-97-9 Forma vydání Tištěná - P Akce 1st International Work-Conference on Time Series (ITISE 2014) Datum konání 25.06.2014 - 27.06.2014 Místo konání Granada Země ES - Španělsko Typ akce WRD Jazyk dok. eng - angličtina Země vyd. ES - Španělsko Vědní obor RIV AH - Ekonomie CEP GA14-24129S GA ČR - Grantová agentura ČR Institucionální podpora NHU-C - PRVOUK-P23 UT WOS 000359136600019 Anotace There is an ample evidence that shocks to returns asymmetrically impact market volatility. Market volatility, especially in association with crisis development, may then spill quickly across different markets. This paper considers that volatility spillovers might propagate differently from market to market with respect to positive or negative shocks. We combine the recent advances to capture such asymmetric volatility spillovers. Specifically, we extend the computation of the Diebold Yilmaz spillover index by allowing for negative and positive changes in returns to be considered separately. As a result, by using negative realized semivariance (RS-)and positive realized semivariance (RS+) we devise a methodology which explains the transmission of downside and upside risk among markets. Pracoviště Národohospodářský ústav - CERGE Kontakt Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Rok sběru 2016
Počet záznamů: 1