Browsing by Subject "Volatility spill-over effects"
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Measuring spill–over effects of foreign markets on the JSE before, during and after international financial crises
(University of Pretoria, 2013)There is a large body of research that proves the co-movement of international stock markets over time. This co-movement manifests through various instruments ranging from stocks and bonds, to soft commodities and can be ... -
Measuring the relationship between intraday returns, volatility spill–overs and market beta during financial distress
(2013)The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, ...