Multivariate GARCH modeling of sector volatility transmission

By S. Hassan, Farooq Malik. 2007

183 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/751aa9c59c50e0dd3788b1996942c54225754a9c

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Citations in the corpus

On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2012, methodology): “GARCH-type approach has received a particular interest from almost all previous papers in modeling financial volatility (Agnolucci, 2009; Hassan and Malik, 2007; and Kang et al., 2009).”
Geopolitical risk and volatility spillovers in oil and stock markets (2019, background): “…has demonstrated that MGARCH models are well suited to modelling volatility spillover effects in energy markets (e.g. Cifarelli and Paladino, 2010; Hassan and Malik, 2007), stock markets (e.g. Engle and Susmel, 1993; Lin et al., 1994) and between energy and stock markets (e.g. Malik and…”
Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011, result): “As we can see, these ratios are low in general suggesting that hedging effectiveness involving oil and stock markets in the GCC countries 20 is quite good, as compared to that in other developed markets (e.g., Hassan and Malik, 2007).”
Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context (2016, background): “…correlation (DCC) specification is considered significant as some studies have already evidenced that conditional correlations between different financial variables are not constant (Ewing, Malik, & Ozfidan, 2002; Fleming, Kirby, & Ostdiek, 1998; Hassan & Malik, 2007; Kodres & Pritsker, 2002).”
World gold prices and stock returns in China: Insights for hedging and diversification strategies (2015, result): “Empirical results reported in Hassan and Malik (2007), Agnolucci (2009), and Kang et al. (2009), among others, confirm effectively the superiority hal-00798038, version 1 -7 Mar 2013 of these models and show that they satisfactorily capture the stylized facts of commodities' conditional volatility…”
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, background): “Most studies test volatility spillover among different key stock markets or between the crude oil market and financial markets (e.g., Hassan and Malik, 2007; Lien and Yang, 2008; Malik and Ewing, 2009; Singh et al., 2010; Yilmaz, 2010; Du et al., 2011; He and Chen, 2011; Serra, 2011; Syllignakis et…”
Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets (2008, methodology): “The values of the hedge ratios for the GCC sectors are smaller than those for the US equity sectors (Hassan and Malik, 2007), reflecting the possibility of greater hedging effectiveness in GCC markets than in the USA.”