Survey of volatility and spillovers on financial markets

Evžen Kočenda

No 363, Working Papers from Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies)

Abstract: 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.

Keywords: volatility; volatility spillovers; financial markets (search for similar items in EconPapers)
JEL-codes: C10 E44 F31 G15 (search for similar items in EconPapers)
Pages: 18
Date: 2017-02
New Economics Papers: this item is included in nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.dokumente.ios-regensburg.de/publikationen/wp/wp_363.pdf (application/pdf)

Related works:
Journal Article: Survey of Volatility and Spillovers on Financial Markets (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ost:wpaper:363

Ordering information: This working paper can be ordered from
info@ios-regensburg.de

Access Statistics for this paper

More papers in Working Papers from Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies) Contact information at EDIRC.
Bibliographic data for series maintained by Kseniia Gatskova (gatskova@ios-regensburg.de this e-mail address is bad, please contact repec@repec.org).