INFOGRAPHICS: PATTERNS OF INFORMATION FLOWS SHARING AND VOLATILITY SPILLOVERS

Barmin, V.

INFOGRAPHICS: PATTERNS OF INFORMATION FLOWS SHARING AND VOLATILITY SPILLOVERS

V. Barmin
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V. Barmin: LLC Commercial Bank "Ergobank"

Review of Business and Economics Studies // Review of Business and Economics Studies, 2015, vol. 3, issue 2, 67-68

Abstract:

It’s commonplace, that information drives prices. Can we infer the impact of information by just observing prices? Can we observe regime changes during crises, when markets are overwhelmed with waves of fear and greed? What happens in the aftermath? We estimate information flows on the world marketsby modeling volatility of regional stock indexes. Then we estimate VAR models for volatilities and use the capabilities of ‘circlize’ package from statistical environment ‘R project’ to visualize patterns of exposure and auto-determinism of information processes in global stock markets.

Общеизвестно, что ценой движет информация. Можем ли мы оценить эффект информационного воздействия, наблюдая цены? Меняется ли это воздействие в кризисы и бумы, когда рынки захлестывают эмоциональные волны? Что происходит после? Мы оцениваем информационный процесс на мировых рынках, моделируя волатильность региональных фондовых индексов, строим модели векторной авторегрессии и используем возможности пакета circlize статистической среды R project для визуализации информационных процессов на мировых фондовых рынках.

Keywords: Information flows; volatility spillovers; volatility; crises (search for similar items in EconPapers)
Date: 2019-02-25
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