Konu "Volatility spillovers" için İktisadi ve İdari Bilimler Fakültesi Koleksiyonu listeleme
Toplam kayıt 3, listelenen: 1-3
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Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia
(Springer Heidelberg, 2021)This work reinvestigates the interrelationship between crude oil prices and stock market returns in Saudi Arabia by taking into account volatility spillovers that are exemplified by second-moment effects. Using weekly data ... -
Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies
(Elsevier Ltd, 2022)This study aims to investigate real effective exchange rates and real commodity prices volatility transmission among Mexico, Indonesia and Turkey. According to the results, there is a bidirectional causality relationship ... -
Volatility spillovers between WTI and Brent spot crude oil prices: an analysis of granger causality in variance patterns over time
(Elsevier, 2021)There has been an increase in price volatility in oil prices during and since the global financial crisis (GFC). This study investigates the Granger causality patterns in volatility spillovers between West Texas International ...