Structural change in the correlation, return and volatility spillovers
Evidence from the oil, stock and exchange rate markets in the United States
Bibliographic Data
| ID | 15068247 |
|---|---|
| Authors | Jung-Bin Su (0000-0003-3271-3462, Qilu University of Technology, corresponding author) |
| Year | 2022 |
| Volume | 35 |
| Issue | 1 |
| Pages | 6918-6944 |
| Publication date | 2022-12-31 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2022.2054453 |
| OpenAlex | W4226258043 |
| Language | EN |
| Citations received | 1 |
| References cited | 28 |
The present study employed a bivariate GJR-GARCH-MX-t model with a Structural break (SB) to explore the status variation of five financial features in three markets in the United States (US) that arose as a result of the shocks from both the global financial crisis (GFC) and subsequently quantitative easing (QE) policies. The results showed that the GFC and QE first cause a SB at the oil market and the stock market; the SB did not occur in the exchange rate (FX) market. Moreover, before and after the SB, the status of the three types of pairwise markets′ interaction indicators was significantly different, especially for the oil-stock paired market data. However, the status of the two single market indicators was almost the same, especially for the FX market data. In addition, during the two subperiods the stock market and the FX market dominated in the case of the return and volatility spillovers, respectively
Autoregressive conditional heteroskedasticity · Bivariate analysis · Business · Econometrics · Economics · Exchange rate · Financial crisis · Financial economics · Monetary economics · Stock exchange · Stock market · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Finance
A Test for Normality of Observations and Regression Residuals
Estimating and Testing Linear Models with Multiple Structural Changes
Multivariate Simultaneous Generalized ARCH
Estimating Time Varying Risk Premia in the Term Structure
Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets
Financial cointegration and spillover effect of global financial crisis
Better to give than to receive
| Unique citing works | 1 |
|---|---|
| Citations per year | 0.25 |
| Citation span | 2022 - 2022 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |